The empirical relationship between average asset correlation, firm probability of default, and asset size

By José A. López. 2002

231 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/cb8f07892668ec19dbf4a4d8a793129f6c2301a8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Lyn C. Thomas
2. Rafael Repullo
3. Javier Suárez
4. Jonathan Wendin
5. Alexander J. McNeil
6. Olivier Renault
7. Arnaud de Servigny
8. Badar Nadeem Ashraf

In Economics and Econometrics

1. Lyn C. Thomas
2. Javier Suárez
3. Jonathan Wendin
4. Alexander J. McNeil
5. Jonathan N. Crook
6. Rafael Repullo
7. Olivier Renault
8. Arnaud de Servigny

In Finance

1. Lyn C. Thomas
2. Rafael Repullo
3. Jonathan Wendin
4. Javier Suárez
5. Alexander J. McNeil
6. Jonathan N. Crook
7. Arnaud de Servigny
8. Olivier Renault

Citations in the corpus

• Loan Pricing Under Basel Capital Requirements (2004, methodology): “Next, differentiating the condition (15) that implicitly defines the equilibrium loan rate r∗ j , and using the definitions (12) and (13) of Fj(p) and b pj, gives:”
• Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs (2005, unknown): “The Basel Committee and others (e.g.( Lòpez, 2004) state only that the asset correlation amongst firms is positively related to the size of a firm and this explains the Bcorrelation discount^ for firms with less than "50 million of sales.”
• Bayesian inference for generalized linear mixed models of portfolio credit risk (2007, background): “Moreover, we do not necessarily concur with their proposed view that implied asset correlations fall monotonely with increasing probability of default; see also Lopez (2004). It should, however, be noted that inference about upper investmentgrade factor loadings is highly uncertain due to the rare o”
• Dependent Credit Migrations (2006, methodology): “Model Class (K) — Rating-specific Factor Loadings With the Basel II capital adequacy framework, in which risk loadings may depend on the credit quality of the obligor, the issue of rating-specific factor loadings has been subject to recent interest; see Basel Committee on Banking Supervision (2002) ”
• Recent developments in consumer credit risk assessment (2007, background): “Lopez (2002) found the correlation between asset sizes to be negatively related to default probability for firms, which is the opposite of the relationship implied by Eq.”
• Measuring and Managing Credit Risk (2004, background): “Lopez (2002) reports that asset correlations decrease in the probability of default.”