Empirical studies show that default probabilities and loss given defaults of corporate counterparties are positively correlated due to their common dependency on the businesscycle. Guido Giese appli...
Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinv...
Credit risk : Cuttingedge
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Basel II revised credit card default correlation values will be crucial guidelines to credit portfolio analysis under the IRB approach, says Fitch Ratings, a rating agency based in New York.
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