Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation.
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is shown that the correlation bias shifts shareholde...
| Corporate Author: | |
|---|---|
| Format: | Journal |
| Language: | English |
| Published: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| Series: | IMF Working Papers; Working Paper ;
No. 2011/082 |
| Online Access: | Full text available on IMF |