The level of capital requirement generated by the IRB approach depends crucially on the asset correlation, a parameter … (WCL) and we show how the asset correlation influences these measures. We then provide a rationale for the regulatory …

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

analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we … particular, we suggest estimators for the correlation parameter of the Gaussian copula that can be used for general credit … behandelt die Diversifikation innerhalb einer Risikoart (z.B. Markt- oder Kreditrisiko), wohingegen Interrisiko …

conservative tail risk assessment than a Gaussian framework with the same linear correlation structure, as I show in a simulation …

conservative tail risk assessment than a Gaussian framework with the same linear correlation structure, as I show in a simulation …

model for random correlation matrices to model non-stationary effects. We then use the Merton model in which default events … ensemble of random matrices that models the truly existing set of measured correlation matrices. As a most welcome side effect …