Banks' pooling of corporate debt: An application of the restated diversification theorem

Frederik Lundtofte

doi:10.1016/j.najef.2014.12.003

Banks' pooling of corporate debt: An application of the restated diversification theorem

Frederik Lundtofte

Department of Economics

Research output: Contribution to journal › Article › peer-review

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
Pages (from-to)	249-263
Journal	The North American Journal of Economics and Finance
Volume	31
DOIs	https://doi.org/10.1016/j.najef.2014.12.003
Publication status	Published - 2015

Subject classification (UKÄ)

Economics

Free keywords

Risk pooling
Probability of default
Default correlation
Corporate
debt

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10.1016/j.najef.2014.12.003

Cite this

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title = "Banks' pooling of corporate debt: An application of the restated diversification theorem",

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.",

keywords = "Risk pooling, Probability of default, Default correlation, Corporate, debt",

author = "Frederik Lundtofte",

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KW - Risk pooling

KW - Probability of default

KW - Default correlation

KW - Corporate

KW - debt

UR - https://www.scopus.com/pages/publications/84919932985

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DO - 10.1016/j.najef.2014.12.003

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JO - The North American Journal of Economics and Finance

JF - The North American Journal of Economics and Finance

ER -

Banks' pooling of corporate debt: An application of the restated diversification theorem

Abstract

Subject classification (UKÄ)

Free keywords

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