The application of Bayesian method to the distribution of asset return correlation in the New Basel Accord
碩士 === 國立臺北大學 === 統計學系 === 94 === The asset return correlation is the key variable for calculating the regulatory capital in the New Basel Accord. The Second Consultative paper（CP2）in 2001 considered the asset return correlation as a constant 0.2. The third Consultative paper（CP3）announced in April,...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2006
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| Online Access: | http://ndltd.ncl.edu.tw/handle/79815109651699893905 |