Correlation Risk Overwhelms the Global Banking Industry

Dimitris N. Chorafas

Chapter 9 in Basel III, the Devil and Global Banking, 2012, pp 171-194 from Palgrave Macmillan

Abstract: Abstract Banks don’t need to wait until the Basel Committee tells them what they should do in terms of risk control decisions, tests and procedures. That would be a poor policy because, typically, what is included in new rules and directives is the common denominator. Well-governed institutions would want to do much more to be ahead of the curve. A policy which can pay dividends is to pay attention to correlation coefficients, and use them for both experimentation on latent or hidden exposures and for effective risk management.

Keywords: Risk Management; Credit Risk; Credit Default Swap; Basel Committee; Collateralized Debt Obligation (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:pal:pmschp:978-0-230-35842-3_9

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DOI: 10.1057/9780230358423_9

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