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

Rösch, Daniel (2003) Correlations and Business Cycles of Credit Risk: Evidence from Bankruptcies in Germany. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 380, Working Paper.

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Date of publication of this fulltext: 16 Mar 2005 13:47

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Other URL: http://www.opus-bayern.de/uni-regensburg/volltexte/2003/483


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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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:2003
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Identification Number:
ValueType
urn:nbn:de:bvb:355-opus-4839URN
RePEc:bay:rdwiwi:483RePEc Handle
Classification:
NotationType
G28Journal of Economics Literature Classification
G20Journal of Economics Literature Classification
C51Journal of Economics Literature Classification
Keywords:Kreditrisiko, , Credit risk dependencies , credit risk models
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Published
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:4495
Owner only: item control page

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