TY  - RPRT
AU  - Chamizo Cana, Álvaro
AU  - Fonollosa, Alexandre
AU  - Novales Cinca, Alfonso Santiago
PY  - 2019
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17512
AB  - We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary to...
LA  - eng
A3  - Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Forward-looking Asset Correlation
KW  - Economic Capital
KW  - Asset Allocation
KW  - Systemic Risk.
TI  - Forward-looking asset correlations in the estimation of economic capital
TY  - technical report
VL  - 2019
ER  -