Abstract
Abstract Default correlation is a crucial in risk management. The aim of this paper is to introduce a new method for measuring default correlation. In this paper we recall tetrachoric correlation coefficient which is a measure of association between two continuous variables that have each been measured on a dichotomous scale. We presented the applicability of tetrachoric correlation as a default risk correlation measure.
Keywords
Correlation
Measure (data warehouse)
Polychoric correlation
Statistics
Mathematics
Artificial intelligence
Computer science
Data mining
Subject Areas
Credit Risk and Financial Regulations
·Finance ·Social Sciences
Financial Distress and Bankruptcy Prediction
·Accounting ·Social Sciences
Risk and Portfolio Optimization
·Management Science and Operations Research ·Social Sciences
Citations by Year
2018: 1
2025: 2
Loading…
Loading…