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 …

this end we measure diversification for all German banks in the period from 1993 to 2002. As measures we use a broad set of … naive diversification across all industries or, alternatively, the economy's industry structure. With this framework our … in this context innovative group of distance measures. We find that different statistical measures of diversification may …

This study focuses on the diversification benefits of the most developed equity markets of Central and Eastern Europe … (CEE). To evaluate these benefits of diversification we use so-called spanning tests based on a stochastic discount factor … our study addresses the diversification benefits not only for U.S. investors, as is the usual case in these empirical …

Equity basket correlation is an important risk factor. It characterizes the strength of linear dependence between … assets and thus measures the degree of portfolio diversification. It can be estimated both under the physical measure from … return series, and under the risk neutral measure from option prices. The difference between the two estimates motivates a so …

particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other … funds has affected the probability of fund failure. We find that risk spill-over is significantly related to the failure … within the same investment style are adversely affected through both channels of risk spillover. In addition, we find that …

In the debate of sustainable rural livelihoods, diversification is seen as a way to secure incomes and to increase food …) diversification in agricultural production is not sufficient for securing rural livelihoods in Kakamega District; (2) a sufficient … income diversification depends heavily on requirements like access to education, infrastructure, as well as investment …

. Moreover, we find that the impact of diversification depends strongly on the risk level. However, it is only for moderate risk …Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore … banks? profitability (ROA) and their portfolio diversification across different industries, broader economic sectors and …

This paper empirically investigates the determinants of R&D diversification strategies in the drug industry. It … enriches the existing literature by proposing to look at diversification factors, which reflect market and technological … proximity in market niches from technological proximity. The results of empirical estimation support an idea that R …

Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit … occurrence, systemic risk can reduce dramatically the diversification benefits. It is clearly revealed via a non … it. One of them is the existence of systemic risk that affects all of the policies at the same time. We introduce here a …

the benefits of portfolio diversification for downside risk in case returns are normally distributed with the case of fat …Risk managers use portfolios to diversify away the unpriced risk of individual securities. In this article we compare …-tailed distributed returns. The downside risk of a security is decomposed into a part which is attributable to the market risk, an …