Asymmetric asset correlation in credit portfolios
Yongbok Cho, Yongwoong Lee
| Year of publication: |
2022
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|---|---|
| Authors: | Cho, Yongbok ; Lee, Yong Woong |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-6
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| Subject: | ASRF model | Asymmetric asset-correlation | Basel criteria | Credit portfolio risk | Cyclicality | Time-varying risk parameters | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Korrelation | Correlation | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Konjunktur | Business cycle | Bankrisiko | Bank risk | Risikomanagement | Risk management | Kreditgeschäft | Bank lending | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103037 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013478636