Resources
BNET Resources
- sort by:
- Relevance
- Date
- Popularity
- The Empirical Relationship Between Average Asset Correlation, Firm Probability Of Default And Asset Size
- The asymptotic single risk factor ASRF approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the second Basel Accord. Within this approach, a key regulatory parameter is the average...
- White papers 2002-06-17
Additional Resources
- Fitch Ratings: Evaluating Basel II Asset Correlations Empirically
- NEW YORK & LONDON -- A new report by Fitch demystifies the Basel II treatment of asset correlation and provides original empirical analysis of the correlation values assumed under the internal-ratings based IRB approach across a range of asset classes. "Asset correlation is an influential parameter affecting both absolute...
- Research articles 2008-05-19
- An Empirical Assessment of Asset Correlation Models
- "Over the last thirty years there has been considerable research on the use of forecasting models to estimate correlation structure of security returns in the areas of asset management and risk management. In the area of credit risk management, portfolio models such as CreditMetrics., CreditRisk+., KMV's Portfolio Manager and McKinsey's...
- White papers 2001-11-04
- Fitch on Empirical Asset Correlation; Market-Based Methodologies Found Superior
- LONDON & NEW YORK -- According to a new research study from Fitch Ratings; given the pros and cons of different correlation methodologies, there are major advantages for market participants (e.g. CDO investors) to adopt a methodology that utilizes wider geographical and industrial information coming from reliable & global liquid...
- Research articles 2005-06-07
- Deriving Credit Portfolio Diversification Properties From Large Asset-Backed Security Pools
- The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January and September. Such a broad sample, comprised of several hundred thousand pool-month observations, provides a unique opportunity...
- White papers 2005-12-19
- Portfolio Variance and Correlation Matrices
- The fact that portfolio variance must be positive implies that the correlation matrix for asset returns should be positive definite. As such, a test for positive definiteness in the correlation matrix should be routinely implemented prior to any portfolio optimization exercise. A program is developed to test for positive definiteness...
- White papers 2003-01-01
- High correlation: Sweden's AP funds might see asset moves, merger; Executives downplay rumors after Finance Ministry report, set sights on higher alpha.(News)
- Byline: Shahnaz Mahmud STOCKHOLM - High correlation among four of Sweden's AP funds - accounting for 421.5 billion krona ($56.9 billion) - is leading to speculation of major asset allocation changes, or possibly even a merger of the four. A rep...
- Research articles 2004-06-14
- New Ideas For Asset Allocation
- Article summarizes several techniques that investors can use to improve their asset allocation process such as mean-variance approach that tends to favor higher estimates of return, lower estimates of volatility, and low correlation's, James-Stein estimation a type of Bayesian analysis that combines data with insight or a prior belief to...
- White papers 2003-01-01
- Fitch Releases Default Correlation Study; Discusses CDO Applications
- Business Editors NEW YORK--BUSINESS WIRE--Feb. 5, 2003 Fitch Ratings releases a study that discusses the development of an empirical methodology utilizing industry correlation to assess default correlation. Fitch calculates asset correlations across industries to determine the impact of correlation on a portfolio's default risk. One of the conclusions...
- Research articles 2003-02-05
- Beyond Correlation: Extreme Co-movements Between Financial Assets
- This paper investigates the potential for extreme co-movements between financial assets by directly testing the underlying dependence structure. In particular, a t-dependence structure, derived from the Student t-distribution, is used as a proxy to test for this extremal behavior. Using likelihood ratio-based methods, it show that the presence of extreme...
- White papers 2002-10-14
- Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH
- This paper develops the theoretical and empirical properties of a new class of multivariate GARCH models capable of estimating large time-varying covariance matrices, Dynamic Conditional Correlation Multivariate GARCH. The paper shows that the problem of multivariate conditional variance estimation can be simplified by estimating univariate GARCH models for each asset,...
- White papers 2001-11-09
- Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach
- We place the asset value credit portfolio model in the larger context of generalized correlation models where the normal distribution assumption of asset returns is replaced by an abstract elliptical distribution. Based on closed-form solutions for homogenous portfolios, we show in particular that the classical asset value model is not...
- White papers 2003-05-01
- REITs, Your Home, and the Asset-Allocation Decision
- Diversification across asset classes is an important component of an investment plan. It reduces risk. It is also important to diversify across asset classes that have low correlation. It is therefore a good diversifier of risk and should be considered when constructing an asset-allocation plan. Once a home-owning investor decides...
- White papers 2000-09-18
- How To Incorporate Hedge Funds And Active Portfolio Management Into An Asset Allocation Framework
- Hedge funds and other actively managed strategies contain two fundamental sources of risk: Systematic risk, and Active risk. The conventional asset allocation approach employed by most plan sponsors and consultants fails to integrate these two sources of risk. This can lead to the formation of inefficient portfolios. In this article,...
- White papers 2002-06-01
- Strategic Asset Allocation With Portfolios of Hedge Funds
- The option-like payoffs and unusual correlation profiles of hedge funds open new avenues in strategic portfolio construction. The strategy mix optimization may be necessary to meet advanced risk requirements including minimizing correlation with principal components of strategic portfolio risk or design of structured products but a flexible stand-alone optimizer may...
- White papers 2002-12-01
- Why It's Important to Understand Negative Correlation
- Negative correlation is an important consideration when looking to add an asset class to your portfolio. Unfortunately, many investors misunderstand this term. by Larry Swedroe
- Blog posts 2009-08-24
- The Benefits of Real Asset Portfolio Diversification
- Imagine a country that has a unique and diverse economy. Operating within this country are many well capitalised corporations. Shares in these corporations are traded on well established global exchanges. A highly liquid index of these companies also trades on a global exchange. This index has exhibited the following properties:...
- White papers 2003-01-01
- Real-estate funds in your portfolio: high returns and low correlation to other asset classes make these funds good asset-allocation tools. (Mutual Exclusives).(Statistical Data Included)
- OUR LARGEST ASSET IS USUALLY our home, but when we are paying our monthly mortgage we usually don't think of it as our largest investment -- we think of it as our largest expense. However, the reality is that our home and real estate in general are...
- Research articles 2002-05-01
- real estage asset allocation decision: Monetary policy implications, The
- Executive Summary. Previous research establishes that Federal Reserve monetary policy influences both stock and bond returns. This research extends past research and shows that similar patterns exist for real estate investment trust returns. We find that the correlation structure of asset returns changes with alternative monetary policy environments. Mean-variance analysis...
- Research articles 2001-07-01
- Bonds As An Asset Class And Appropriate Bond Strategies For Individual Investors
- This paper emphasizes that bonds have an important place in the asset allocation process, but are poorly understood by most individual investors. Bonds are typically issued at par, redeemed at par, and along the way, they fluctuate in value as prevailing interest, rates change. Bonds pay interest semi-annually, but never...
- White papers 2003-01-01
- << Previous
- page 1 of 1
- Next >>
