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 …

A positive relationship between firm size and product diversification is a long-standing stylized fact. However, so far …

strategies. First, we show that the tangency portfolios fully diversify the risk associated with the factor component of asset …

propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …The potential for portfolio diversification is driven broadly by two characteristics: the degree to which systematic … risk factors are correlated with each other and the degree of dependence individual firms have to the different types of …

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics …

even if the risk-free asset return is correlated with other risky assets' returns. However, equivalence fails to hold on an …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two …