The Value at Risk of a portfolio differs from the sum of the Values at Risk of the portfolio's components. In this … paper, we analyze the problem of how a single economic risk figure for the Value at Risk of a hypothetical portfolio … portfolio. We assume a reduced-form model and neglect the effects of a potential bankruptcy of one of the banks. We analyze …

which can influence portfolio choice: wealth shocks, which are represented by the sovereign debt crisis in the Eurozone, and … (Greece, Ireland, Italy, Portugal, and Spain) decrease the degree of concentration in their security portfolio as a result of …-financial corporations. We also show that only shocks to corporate credit bear ramifications on bank clients' portfolio concentration, while …

-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has …

Two shrinkage estimators for the global minimum variance portfolio that dominate the traditional estimator with respect … to the out-of-sample variance of the portfolio return are derived. The presented results hold for any number of …