Difference between revisions of "Loss Correlation"
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== Definition == | == Definition == | ||
| − | '''Loss Correlation''' denotes dependency between credit losses in the context of [[Credit Portfolio Management]] | + | '''Loss Correlation''' denotes dependency between [[Credit Loss | credit losses]] in the context of [[Credit Portfolio Management]]. |
| + | |||
| + | == Causes == | ||
| + | * Direct dependencies between exposures | ||
| + | * Common [[Risk Factor | risk factors]] (economic environrment, market levels etc.) | ||
== See Also == | == See Also == | ||
Latest revision as of 11:23, 28 September 2021
Definition
Loss Correlation denotes dependency between credit losses in the context of Credit Portfolio Management.
Causes
- Direct dependencies between exposures
- Common risk factors (economic environrment, market levels etc.)
