In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous ...
The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital ...
Leslie Kramer is a writer for Institutional Investor, correspondent for CNBC, journalist for Investopedia, and managing editor for Markets Group. Correlation measures the linear relationship between ...
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