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AEI Economic Policy Working Paper Series
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Capital for concentrated credit portfolios
Kupiec, Paul H.
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American Enterprise Institute
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2015
In this article, I illustrate three approaches for calculating loss distributions and value-at-risk capital requirements in credit portfolios with obligor concentrations risk.
Persistent link: https://www.econbiz.de/10011273209
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Portfolio diversification in concentrated bond and loan portfolios
Kupiec, Paul H.
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American Enterprise Institute
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2015
In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.
Persistent link: https://www.econbiz.de/10011273214
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