Basel II: Numerical instabilities to stabilize banks?

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DrDu
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Oops, I was to quick here. At least, there is no instability. Nevertheless I would write
##\mathrm{Corr}(R)=0.12(1+\exp(-50 \mathrm{PD}))## instead of
Correlation (R) =
0.12 × (1 – EXP (-50 × PD)) / (1 – EXP (-50)) +
0.24 × [1 - (1 - EXP(-50 × PD))/(1 - EXP(-50))]
 
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Doug Huffman
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Retired quant polymath N. N. Taleb argues, better fragile financials than robust 'bubbles' too big to fail or allow to burst.
 

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