Default-Implied Asset Correlation: Empirical Study for Moroccan companies
The asset correlation is a key regulatory parameter in the calculation of the capital charge for credit risk under the second Baselagreement. This parameter has been set in a uniform manner for all banking institutions wishing to integrate the Baselframework. However, estimation of the asset correla...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/32035/354506?publisher=http-www-cag-edu-tr-ilhan-ozturk |