| PDF (415kB) |
- URN zum Zitieren dieses Dokuments:
- urn:nbn:de:bvb:355-opus-4839
- DOI zum Zitieren dieses Dokuments:
- 10.5283/epub.4495
Zusammenfassung
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks� capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to data limitations. Using a large database of bankruptcies in Germany we estimate correlations using a ...
Nur für Besitzer und Autoren: Kontrollseite des Eintrags