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

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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.

Detaljer

Författare
Enheter & grupper
Forskningsområden

Ämnesklassifikation (UKÄ) – OBLIGATORISK

  • Nationalekonomi

Nyckelord

Originalspråkengelska
Sidor (från-till)249-263
TidskriftThe North American Journal of Economics and Finance
Volym31
StatusPublished - 2015
PublikationskategoriForskning
Peer review utfördJa