Implications of Macroeconomic Impact on Asset Correlations:Under Different Rating Grade
碩士 === 元智大學 === 會計學系 === 93 === Abstract Estimation of asset correlation in the Basel Ⅱ IRB approach have caused much controversy in recent years. Among current available models, however, few adjust asset correlation to reflect cyclical effects. In addition, empirical studies on correlations betwee...
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| Format: | Others |
| Language: | en_US |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48679588140445236332 |