Pesaran, M. Hashem; Schuermann, Til; Treutler, Björn-Jakob - Institute of Economic Policy Research (IEPR), … - 2005
In theory the potential for credit risk diversifcation for banks could be substantial. Portfolios are large enough that idiosyncratic risk is diversifed away leaving exposure to systematic risk. The potential for portfolio diversifcation is driven broadly by two characteristics: the degree to...