Confidence sets for asset correlations in portfolio credit risk
Asset correlations are of critical importance in quantifying portfolio credit risk and economic capital in financial institutions. Estimation of asset correlation with rating transition data has focused on the point estimation of the correlation without giving any consideration to the uncertainty ar...
Kaydedildi:
| Yayımlandı: | Revista de Economía del Rosario |
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| Yazar: | |
| Materyal Türü: | Artigo |
| Dil: | Inglês |
| Baskı/Yayın Bilgisi: |
Universidad del Rosario
2012
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| Konular: | |
| Online Erişim: | https://www.redalyc.org/articulo.oa?id=509555094002 |
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