Portfolio diversification in concentrated bond and loan portfolios
Paul Kupiec
| Year of publication: |
2016
|
|---|---|
| Authors: | Kupiec, Paul H. |
| Published in: |
Journal of investment management : JOIM. - Lafayette, Calif., ISSN 1545-9144, ZDB-ID 2495180-8. - Vol. 14.2016, 2, p. 49-70
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| Subject: | Portfolio diversification | idiosyncratic default risk | obligor concentration | Vasicek single common factor model of credit risk | credit value-at-risk | Basel bank capital requirements | Theorie | Theory | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Risikomaß | Risk measure | Kreditgeschäft | Bank lending | Bankrisiko | Bank risk | Schätzung | Estimation | Bilanzstrukturmanagement | Asset-liability management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011690864