Recently, the advantage of country diversification relative to sector diversification has been questioned especially against the background of the European monetary and financial integration. Correct estimates of the correlation matrix are central for the evaluation of the relative...

The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for...