Portfolio diversification in concentrated bond and loan portfolios
Paul Kupiec ()
AEI Economics Working Papers from American Enterprise Institute
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)
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Persistent link: https://EconPapers.repec.org/RePEc:aei:rpaper:837343
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