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This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed...
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COVID-19 pandemic period, the analysis shows an extended degree of divergence during the pandemic crisis, with GDP, bank … explicitly consider strategies running from bank restructuring and resolutions to recapitalisation or any other rescue measures. …
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