diversification within large banks and financial conglomerates. We discuss the limited value of the normal distribution based … of the risk distribution. This measure is estimated and indicates better diversification benefits for conglomerates …

the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …

diversification against the benefits in terms of the standard deviation of the returns. Suppose a safety first investor cares about …

This paper revisits the credit spread puzzle in bank CDS spreads from the perspective of information contagion. The … models to account for information spillovers based on bank business model similarities. To capture this channel, we propose … Eurozone. Incorporating the network information into the structural model for bank credit spreads increases explanatory power …

portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option …-like characteristics, correlation between projects plays a more complicated role than traditional portfolio diversification would suggest …. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and …

. Our results apply to stationary and ergodic time series. In a simulation study we show that our asymptotic theory provides …

conversion on the risk-taking behaviour of the issuing bank. We also test for regulatory arbitrage: do banks try to maintain risk …

predictive variables, modelling a latent daily tourism financial conditions index, bank ownership, financial segments and the … risk management, on robust properties of the SIML estimation of volatility under micro-market noise and random sampling …