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dc.contributor.authorStoffberg, Hestia Jacomina
dc.contributor.authorVan Vuuren, Gary Wayne
dc.identifier.citationStoffberg, H.J. & Van Vuuren, G.2016. Asset correlations in single factor credit risk models: an empirical investigation. Applied Economics, 48(17):1602-1617. []
dc.identifier.issn1466-4283 (Online)
dc.description.abstractThe internal ratings-based (IRB) approach (based on a single risk factor model) was designed by the Basel Committee on Banking Supervision (BCBS) to determine banks' regulatory credit risk capital. Key inputs of the model - asset correlations - are prescribed by the regulator; relevant banks must use them for capital determination. To ascertain whether these correlations are too onerous or too lenient, empirical asset correlations embedded in loss data spanning different loss milieu were backed out of the regulatory model. Static and rolling correlations over a period of time were compared with the prescribed correlations for developed and developing economies and found to be significantly more conservative.
dc.publisherTaylor & Francis
dc.subjectAsset correlation
dc.subjectVasicek distribution
dc.subjectretail loans
dc.titleAsset correlations in single factor credit risk models: an empirical investigation
dc.contributor.researchID22210598 - Stoffberg, Hestia Jacomina
dc.contributor.researchID12001333 - Van Vuuren, Gary Wayne

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