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

Lundtofte, Frederik LU (2015) In The North American Journal of Economics and Finance 31. p.249-263
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.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Risk pooling, Probability of default, Default correlation, Corporate, debt
in
The North American Journal of Economics and Finance
volume
31
pages
249 - 263
publisher
Elsevier
external identifiers
  • wos:000349815700013
  • scopus:84919932985
ISSN
1062-9408
DOI
10.1016/j.najef.2014.12.003
language
English
LU publication?
yes
id
43221978-f2b6-4036-b290-fc5f00809287 (old id 5305691)
date added to LUP
2015-04-23 15:52:25
date last changed
2017-01-01 03:20:25
@article{43221978-f2b6-4036-b290-fc5f00809287,
  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.},
  author       = {Lundtofte, Frederik},
  issn         = {1062-9408},
  keyword      = {Risk pooling,Probability of default,Default correlation,Corporate,debt},
  language     = {eng},
  pages        = {249--263},
  publisher    = {Elsevier},
  series       = {The North American Journal of Economics and Finance},
  title        = {Banks' pooling of corporate debt: An application of the restated diversification theorem},
  url          = {http://dx.doi.org/10.1016/j.najef.2014.12.003},
  volume       = {31},
  year         = {2015},
}