Asset correlation - PowerPoint PPT Presentation

MFIN 7011: Credit Risk Management Summer, 2007 Dragon Tang

Lecture 16 Credit Value-at-Risk II Tuesday, July 31, 2007 Readings: Credit Metrics Technical Documents http://www.riskmetrics.com/techdoc.html. MFIN 7011: Credit Risk Management Summer, 2007 Dragon Tang. Credit Value-at-Risk II. Objectives : CreditMetrics’s method.

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Akira Ieda Institute for Monetary and Economic Studies Bank of Japan

Comments on “ The Empirical Relationship between Average Asset Correlation, Firm Probability of Default and Asset Size ”. Akira Ieda Institute for Monetary and Economic Studies Bank of Japan (e-mail: akira.ieda@boj.or.jp). Structure of My Comments.

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