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

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.

MoreLess

Year of publication:	2015
Authors:	Lundtofte, Frederik
Published in:	The North American Journal of Economics and Finance. - Elsevier, ISSN 1062-9408. - Vol. 31.2015, C, p. 249-263
Publisher:	Elsevier
Subject:	Risk pooling \| Probability of default \| Default correlation \| Corporate debt

More details

Type of publication:	Article
Classification:	C78 - Bargaining Theory; Matching Theory ; D80 - Information and Uncertainty. General ; G21 - Banks; Other Depository Institutions; Mortgages ; G32 - Financing Policy; Capital and Ownership Structure
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011191070