correlation into a commonly used model of default and portfolio credit risk by allowing for dependency between firm default risk …

of a dominant correlation: whether it is of intra d-d/lgd-lgd or inter d-lgd type. Showing that the classic Vasicek … distribution (derived originally for intra d-d correlations only), modified to embrace both intra and inter correlation types by … properly constructing composite mean and correlation parameters, offers an analytic solution which covers an entire range of …

The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …

In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of …,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a …