Basel II: Benchmarking asset correlations - The authors use a parametric model to obtain asset correlations from a large database of historical defaults and find that Basel II overstated correlations.
| Year of publication: |
2003
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|---|---|
| Authors: | Hamerle, Alfred ; Liebig, Thilo ; Rösch, Daniel |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 16.2003, 11, p. 77-82
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