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Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany

URN to cite this document:
urn:nbn:de:bvb:355-opus-4839
DOI to cite this document:
10.5283/epub.4495
Rösch, Daniel
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Date of publication of this fulltext: 16 Mar 2005 13:47


Abstract

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 ...

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