Asset return correlation in Basel II: implications for credit risk management
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More about this item
Keywords
credit risk; Basle II; asset correlation;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2006-02-05 (Business Economics)
- NEP-FIN-2006-02-05 (Finance)
- NEP-FMK-2006-02-05 (Financial Markets)
- NEP-REG-2006-02-05 (Regulation)
- NEP-RMG-2006-02-05 (Risk Management)
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