The asymmetric behavior and procyclical impact of asset correlations

Lee, Shih-Cheng, Lin, Chien-Ting and Yang, Chih-Kai 2011, The asymmetric behavior and procyclical impact of asset correlations, Journal of banking and finance, vol. 35, no. 10, pp. 2559-2568, doi: 10.1016/j.jbankfin.2011.02.014.

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Title The asymmetric behavior and procyclical impact of asset correlations
Author(s) Lee, Shih-Cheng
Lin, Chien-TingORCID iD for Lin, Chien-Ting
Yang, Chih-Kai
Journal name Journal of banking and finance
Volume number 35
Issue number 10
Start page 2559
End page 2568
Total pages 10
Publisher Elsevier BV, North-Holland
Place of publication Amsterdam , The Netherlands
Publication date 2011-10
ISSN 0378-4266
Keyword(s) Basel accord
asset correlation
size effect
default probability
Language eng
DOI 10.1016/j.jbankfin.2011.02.014
Field of Research 149999 Economics not elsewhere classified
Socio Economic Objective 970114 Expanding Knowledge in Economics
HERDC Research category C1.1 Refereed article in a scholarly journal
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Document type: Journal Article
Collections: School of Accounting, Economics and Finance
2018 ERA Submission
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