Asset correlations and procyclical impact
Kung-Cheng Ho, Jiun-Lin Chen and Shih-Cheng Lee
| Year of publication: |
March 2017
|
|---|---|
| Authors: | Ho, Kung-Cheng ; Chen, Jiun-Lin ; Lee, Shih-Cheng |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 11.2017, 1, p. 1-20
|
| Subject: | systemic risk | Basel Accord | asymptotic single risk factor | asset correlations | procyclical impact | Basler Akkord | Kreditrisiko | Credit risk | Korrelation | Correlation | Risikomaß | Risk measure | Systemrisiko | Systemic risk | Portfolio-Management | Portfolio selection | Bankrisiko | Bank risk | Konjunktur | Business cycle |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JRMV.2017.165 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011671171