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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