Estimating asset correlations from stock prices or default rates -- which method is superior? (Q609846)
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scientific article; zbMATH DE number 5822404
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| English | Estimating asset correlations from stock prices or default rates -- which method is superior? |
scientific article; zbMATH DE number 5822404 |
Statements
Estimating asset correlations from stock prices or default rates -- which method is superior? (English)
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1 December 2010
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asset correlation
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single risk factor model
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small sample properties
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structural model
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Basel II
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0.7960127
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0.78703713
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0.7773421
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0.7759338
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0.77405906
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0.7719563
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0.7707425
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