Forward-looking asset correlations in the estimation of economic capital
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DOI: 10.1016/j.intfin.2019.04.001
Abstract: We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary… read more here.
Keywords: credit market; economic capital; estimation economic; capital ... See more keywords