Default-Implied Asset Correlation: Empirical Study for Moroccan companies
The asset correlation is a key regulatory parameter in the calculation of the capital charge for credit risk under the second Baselagreement. This parameter has been set in a uniform manner for all banking institutions wishing to integrate the Baselframework. However, estimation of the asset correl...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-04-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://econjournals.com/index.php/ijefi/article/view/4046 |