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Olivier Romijn
affiliation not provided to SSRN
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SCHOLARLY PAPERS
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Scholarly Papers (1)
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1.
Consistent Assumptions for Modeling Credit Loss Correlations
Journal of Actuarial Practice, Vol. 13, pp. 173-182, 2006
Number of pages: 10
Posted: 19 May 2009
Jan Dhaene
,
M. J. Goovaerts
,
Ruben Olieslagers
,
Robert Koch
, Olivier Romijn and
Steven Vanduffel
Katholieke Universiteit Leuven,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and Vrije Universiteit Brussel (VUB)
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Abstract:
default correlation, loss correlation, comonotonicity, credit risk, LGD, Solvency II, Basel II
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