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Portfolio diversification in concentrated bond and loan portfolios

Paul Kupiec ()

AEI Economics Working Papers from American Enterprise Institute

Abstract: In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.

Keywords: capital requirements; Bank regulation (search for similar items in EconPapers)
JEL-codes: A (search for similar items in EconPapers)
Date: 2015-04
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