This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

This paper empirically investigates the determinants of R&D diversification strategies in the drug industry. It … enriches the existing literature by proposing to look at diversification factors, which reflect market and technological …&D diversification is governed by the economies of scope as well as the escape competition motive. Moreover, it is found that competition …

this end we measure diversification for all German banks in the period from 1993 to 2002. As measures we use a broad set of … naive diversification across all industries or, alternatively, the economy's industry structure. With this framework our … in this context innovative group of distance measures. We find that different statistical measures of diversification may …

. Moreover, we find that the impact of diversification depends strongly on the risk level. However, it is only for moderate risk …Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore … banks? profitability (ROA) and their portfolio diversification across different industries, broader economic sectors and …

In the debate of sustainable rural livelihoods, diversification is seen as a way to secure incomes and to increase food …) diversification in agricultural production is not sufficient for securing rural livelihoods in Kakamega District; (2) a sufficient … income diversification depends heavily on requirements like access to education, infrastructure, as well as investment …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spill-over is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

Climate risk is particularly burdensome to small-scale farmers in developing countries due to heavy dependence on … rural populations, and the risks they are facing. This paper presents an approach to measuring climate risk and its impact … decisions of households affect income and risk in different production systems. Assuming possible future scenarios we can derive …

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor … our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical …

reflects market risk exposures. It is observed on invoking a law of large numbers applied to an infinite population of … investors, that many personally relevant risk considerations can be eliminated from the market asset pricing model. Examples … on asset pricing include a need to focus on identifying and explaining investor specific risk exposures. …