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Risk Diversification in the Credit Portfolio : An Overview of Country Practices
Morris, JoAnne - 2001
in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …
Persistent link: https://www.econbiz.de/10014401441
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International Diversification Gains and Home Bias in Banking
García Herrero, Alicia - 2007
countries and their subsidiaries overseas during 1995-2004, and studies the extent of diversification gains from their local … of a mean-variance portfolio optimization model. Overall, international diversification gains in banking appear to be … diversification gains could usefully be considered in the second pillar of Basel II as the first pillar is based only on the …
Persistent link: https://www.econbiz.de/10014401066
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The return of the policy that shall not be named : principles of industrial policy
Chérif, Réda; Hasanov, Fuad - 2019
story that many ignore or claim it cannot be replicated. Using a theory and empirical evidence, we argue that one can learn …
Persistent link: https://www.econbiz.de/10012010001
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The Implications of Trade Barriers for Sectoral Diversification and Macroeconomic Stability in Developing Economies
Srour, Gabriel - 2006
The paper examines the implications of lower trade barriers for sectoral diversification and macroeconomic stability in … macroeconomic stability. It shows also that diversification, in the form of equal distribution of resources between nonprimary …
Persistent link: https://www.econbiz.de/10014399995
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Economic Integration, Sectoral Diversification, and Exchange Rate Policy in a Developing Economy
Srour, Gabriel - 2004
The paper develops a simple three-sector model of a developing country with nominal wage rigidity, in which one sector is thought of as the primary sector and the other two are sectors in which the country can diversify. The paper then analyzes the relationship between the market structure of...
Persistent link: https://www.econbiz.de/10014401433
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Riding the yield curve : risk taking behavior in a low interest rate environment
Chami, Ralph; Cosimano, Thomas F.; Rochon, Céline; … - 2020
Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...
Persistent link: https://www.econbiz.de/10012251301
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Determinants of currency composition of reserves : a portfolio theory approach with an application to RMB
Lu, Yinqiu; Wang, Yilin - 2019
The way central banks manage their foreign reserve assets has evolved over the past decades. One major trend is managing reserves in two or more tranches-liquidity tranche and investment tranche-especially for those with adequate reserves. Incorporating reserve tranching, we have developed in...
Persistent link: https://www.econbiz.de/10012009483
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Currency Diversification of Reserves and Sovereign Debt for Small Open Economies
Rajasingham, Indi - 1991
An approach for minimizing risk through diversification of foreign exchange reserves and sovereign borrowings is …
Persistent link: https://www.econbiz.de/10014395848
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Capital Controls and International Portfolio Theory : A Microeconomic Approach
Rose, Marjorie B. - 1990
This paper examines the effects of capital controls on asset prices. A closed-form valuation model by Eun and Janakirimanan (1986) is extended to analyze the impact of three restrictions on international portfolio investment: a percentage quantity constraint on the amount of foreign securities a...
Persistent link: https://www.econbiz.de/10014396353
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Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments
Segoviano Basurto, Miguel A. - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10014399772