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David, may we ask for your comment please?

all those who are still confused about the term "pro-cyclical" the attached paper by T. Adrian & H.S. Shin (both are by far the most well known academics in this field) should help to alleviate any concerns. Yes, Basel II was indeed heavily criticised for it's pro-cyclical nature, but in Basel...

here is the previous page (280) as well, in the case you don't have the book ready. Thank you!

Hi, the source is "Fin. Risk Management" by Malz, Chapter 8 (Portfolio Credit Risk), page 281. I have uploaded the page in Malz' book I'm referring to.

many thanks for your comment. I can follow your steps till the last line, but I don't quite understand what you did in the last line? Why do you ignore 0.36? Your result for "y" is 0.29, but how do I get the default correlation (ß^2) of 0.315? We don't know the joint def. prob. (x= 0.006) in...

Hi all, just one question on using the numerical procedure to solve for the asset correlation (ß^2) in Malz, page 281. Can someone please show how to solve for beta and the joint default prob. given the investment grade default prob. (0.01) and the default correlation (0.05) ? ß^2 should be...

David, I appreciate your answer, but I still do not know how the joint default prob. in your and Meissner's spreadsheet is derived. His spreadsheet "2-asset default time" contains a subroutine "bnc" and in the book ("Correlation Risk Modelling", page 81) there is no math or explanation about the...

Dear All, I am referring to the BIONIC Gaussian copula video on youtube. Can someone please explain (I need the formula and its derivation) how to get to the joint cumulative distribution function of 0.71 for two bonds with marginal cum. dist. function of 5% each and a correlation of 0.3? Many...