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Table 5 Asset correlations among loans

From: On meeting capital requirements with a chance-constrained optimization model

Risky assets \(\zeta _1\) \(\zeta _2\) \(\zeta _3\) \(\zeta _4\) \(\zeta _5\)
\(\zeta _1\) 1 0.15 0.1 0.1 0.1
\(\zeta _2\) 0.15 1 0.2 0.15 0.1
\(\zeta _3\) 0.1 0.2 1 0.2 0.1
\(\zeta _4\) 0.1 0.15 0.2 1 0.25
\(\zeta _5\) 0.1 0.1 0.1 0.25 1