The asymmetric behavior and procyclical impact of asset correlations

journal contribution

posted on 2011-10-01, 00:00 authored by S C Lee, Chien-Ting Lin, C K Yang

The asymmetric behavior and procyclical impact of asset correlations

History

Related Materials

1.
DOI - Is version of https://doi.org/10.1016/j.jbankfin.2011.02.014

Location

Amsterdam , The Netherlands

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Journal

Journal of banking and finance

Volume

35

Pagination

2559 - 2568

ISSN

0378-4266

eISSN

1872-6372

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Keywords

Basel accord asset correlation size effect default probability procyclicality

Licence

All Rights Reserved

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