to as PD-LGD correlation (here PD refers to probability of default, which is often used synonymously with default rate …). There is a large literature on modelling stochastic LGD and PD-LGD correlation, but there is a dearth of literature on using … deviation probabilities across a wide variety of PD-LGD correlation models that have been proposed in the literature. …

The co-dependence between assets tends to increase when the market declines. This paper develops a correlation measure … focusing on market declines using the expected shortfall (ES), referred to as the ES-implied correlation, to improve the … existing value at risk (VaR)-implied correlation. Simulations which define period-by-period true correlations show that the ES …

Netherlands were asked to choose between train and plane, given scenarios for price and travel time. Conclusion / findings: The … results point to a significant correlation between price sensitivity and travel time, with price sensitivity being lowest for …

correlation among individual forecasts explains the group level forecast performance. In an experiment in which participants make …

, where both output price and production cost are stochastic processes, and add a novel focus on how the correlation between … correlation between the processes, as it seeks a greater profitability variance which maximizes its value. …