• 1 Introduction
  • 2 The model
  • 2.1 Basic setup
  • 2.2 Integrating microstructure
  • 2.3 Approximation
  • 2.4 Properties of the model
  • 3 Comparative analysis
  • 3.1 Introduction
  • 3.2 Asset correlation
  • 3.3 Conditional expected loss
  • 3.4 Modied Basel II
  • 4 Conclusion
  • 5 Appendix
  • References