In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous ...

Learn about the negative correlation coefficient, its significance, comparison with other coefficients, and real-world ...

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 ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

Correlation coefficients range from -1 to +1, indicating the strength of relationships between variables. Investors use correlation coefficients for portfolio diversification to reduce risk.

Probability is a measure of the likelihood of events happening. The greater the proportion of times an event can happen the greater (or more likely) the probability. Events can be ordered by the ...

News-driven FX Trading: How to Trade Events Like the FOMC, CPI, and NFP Commodity correlation isn’t static—and ignoring that can blow up your portfolio. Learn how to track it and adjust your risk ...