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 ...

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 ...

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 ...

John Edwards is a licensed attorney with experience in commodities and investments. He provides performance analysis of hedge funds and investors. Suzanne is a content marketer, writer, and ...

Correlation vs Regression: Both correlation and regression are two powerful tools of statistics and data analysis used to understand the relationships between variables. However, they serve distinct ...