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 ...

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 ...

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

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 ...

Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Thomas J Catalano is a CFP and Registered ...

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 ...