Risk Appetite and Jumps in Realized Correlation
نویسندگان
چکیده
منابع مشابه
Asset Correlation , Realized Default Correlation , and Portfolio Credit Risk
Asset correlation is a critical driver in modeling portfolio credit risk. Despite its importance, there have been few studies on the empirical relationship between asset correlation and subsequently realized default correlation, and portfolio credit risk. This three three-way relationship is the focus of our study using U.S. public firm default data from 1981 to 2006. We find the magnitude of d...
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ژورنال
عنوان ژورنال: Mathematics
سال: 2020
ISSN: 2227-7390
DOI: 10.3390/math8122255