empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …

correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected …'s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

correlation. …

represented by a Gaussian copula with a constant correlation coefficient, the WWR is expressed by this correlation coefficient …. Because the observation of the default time means bankruptcy of the company, the correlation cannot be simply estimated using … available daily Czech Republic government IRS and CDS rates we estimated the correlation using maximum likelihood method …

The relation between asset correlation and default probability is critical for determining bank regulatory capital … North American companies, we find that asset correlation tends to increase as credit quality (measured by agency ratings … on stock price dynamics: volatility and correlation increase substantially from the second quarter of 2008 and decline …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive … and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted …