The empirical relationship between average asset correlation, firm probability of default, and asset size
- 30 April 2004
- journal article
- Published by Elsevier in Journal of Financial Intermediation
- Vol. 13 (2) , 265-283
- https://doi.org/10.1016/s1042-9573(03)00045-7
Abstract
No abstract availableAll Related Versions
This publication has 4 references indexed in Scilit:
- Credit Risk Factor Modeling and the Basel Ii IRB ApproachSSRN Electronic Journal, 2003
- Correlated Default RiskSSRN Electronic Journal, 2002
- A Risk-Factor Model Foundation for Ratings-Based Bank Capital RulesFinance and Economics Discussion Series, 2002
- A comparative anatomy of credit risk modelsJournal of Banking & Finance, 2000