Abstract
We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations. (C) 2014 Elsevier Inc. All rights reserved.
Original language | English |
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Pages (from-to) | 249-263 |
Journal | The North American Journal of Economics and Finance |
Volume | 31 |
DOIs | |
Publication status | Published - 2015 |
Subject classification (UKÄ)
- Economics
Free keywords
- Risk pooling
- Probability of default
- Default correlation
- Corporate
- debt