The asymmetric behavior and procyclical impact of asset correlations

Autoria(s): Lee, Shih-Cheng; Lin, Chien-Ting; Yang, Chih-Kai
Data(s)

01/10/2011
Identificador

http://hdl.handle.net/10536/DRO/DU:30050554
Idioma(s)

eng
Publicador

Elsevier BV, North-Holland
Relação

http://dro.deakin.edu.au/eserv/DU:30050554/lin-asymmetricbehavior-2011.pdf

http://dx.doi.org/10.1016/j.jbankfin.2011.02.014
Palavras-Chave #Basel accord #asset correlation #size effect #default probability #procyclicality
Tipo

Journal Article
Acesso ao item digital