Measuring the diversification of a loan portfolio

Agnès Tourin

Year of publication:	2020
Authors:	Tourin, Agnès
Published in:	International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-229X, ZDB-ID 3004039-5. - Vol. 4.2020, 2, p. 104-113
Subject:	loan portfolio \| default correlations \| risk measure \| value at risk \| expected shortfall \| diversification \| Monte Carlo sampling \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection \| Kreditrisiko \| Credit risk \| Theorie \| Theory \| Diversifikation \| Diversification \| Bankrisiko \| Bank risk \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Korrelation \| Correlation \| Stichprobenerhebung \| Sampling \| Messung \| Measurement \| Kreditgeschäft \| Bank lending

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