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Tetrachoric correlation as a measure of default correlation

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dc.contributor.authorNoyan, Fatma
dc.contributor.authorSimsek, Gulhayat Golbasi
dc.date.accessioned2026-06-27T13:21:20Z
dc.date.issued2012
dc.description.abstractDefault correlation is a crucial in risk management. The aim of this paper is to introduce a new method for measuring default correlation. In this paper we recall tetrachoric correlation coefficient which is a measure of association between two continuous variables that have each been measured on a dichotomous scale. We presented the applicability of tetrachoric correlation as a default risk correlation measure. (C) 2012 Published by Elsevier Ltd. Selection and/or peer review under responsibility of Prof. Dr. Huseyin Araslien
dc.description.urihttps://doi.org/10.1016/j.sbspro.2012.09.210
dc.identifier.doi10.1016/j.sbspro.2012.09.210
dc.identifier.endpage1234
dc.identifier.issn1877-0428
dc.identifier.startpage1230
dc.identifier.urihttps://hdl.handle.net/20.500.14981/52121
dc.identifier.volume62
dc.identifier.wos000319841600205
dc.language.isoeng
dc.publisherELSEVIER SCIENCE BV
dc.relation.conferenceWorld Conference on Business, Economics and Management (BEM)
dc.relation.ispartofWORLD CONFERENCE ON BUSINESS, ECONOMICS AND MANAGEMENT (BEM-2012)
dc.rightsopenAccess
dc.subjectDefault correlation
dc.subjecttetrachoric correlation
dc.subjectBusiness & Economics
dc.titleTetrachoric correlation as a measure of default correlation
dc.typeProceedings Paper
dspace.entity.typePublication
local.import.sourceWOS

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