Now showing items 5-5 of 5

    • 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 ...