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Now showing items 4-5 of 5

    • The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification 

      Pesaran, M. Hashem; Schuermann, Til; Treutler, Bjorn-Jakob (Faculty of Economics, 2006-03-14)
      In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is driven broadly by two characteristics: the degree to which systematic risk factors are correlated with ...
    • Scope for Credit Risk Diversification 

      Hanson, Samuel; Pesaran, M. Hashem; Schuermann, Til (Faculty of Economics, 2006-03-14)
      This paper considers a simple model of credit risk and derives the limit distribution of losses under different assumptions regarding the structure of systematic risk and the nature of exposure or firm heterogeneity. We ...