Diversification And Determinants Of International Credit Portfolios
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Diversification And Determinants Of International Credit Portfolios
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Author : Benjamin Böninghausen
language : de
Publisher:
Release Date : 2012
Diversification And Determinants Of International Credit Portfolios written by Benjamin Böninghausen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
International Diversification And Global Credit Risk
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Author : Karin Martin-Bujack
language : en
Publisher:
Release Date : 2018
International Diversification And Global Credit Risk written by Karin Martin-Bujack and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology, we reduce a sample of the biggest international companies to a portfolio composed by just 11 stocks, representing different risk factors, which show high diversification in terms of systematic risk and a risk-return binomial comparable to benchmark international equity indices.
Total Return And Credit Spread Diversification In International Bond Portfolios
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Author : Simone Varotto
language : en
Publisher:
Release Date : 2008
Total Return And Credit Spread Diversification In International Bond Portfolios written by Simone Varotto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
In this study we investigate the factors responsible for diversification in international corporate bond portfolios. We observe that interest rate factors are the most important single cause of diversification of total portfolio returns. Maturity diversification follows as the second most effective risk reduction strategy, while credit rating and seniority diversification effects are unimportant. Interest rate and maturity diversification are also found to be the dominant strategies to reduce the volatility of credit spreads. Finally, contrary to recent evidence from the stock market, industry diversification produces but a negligible impact on the volatility of corporate bond portfolios.
Risk Diversification In The Credit Portfolio
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Author : Ms.JoAnne Morris
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2001-12-01
Risk Diversification In The Credit Portfolio written by Ms.JoAnne Morris and has been published by INTERNATIONAL MONETARY FUND this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-12-01 with Business & Economics categories.
This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The paper focuses on a number of issues suggested by international organizations for countries and bank supervisors to consider in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the large exposure limits, the definition of credit exposure (including application on a consolidated basis), and the definition of a group of related borrowers. The paper concludes that most of the countries reviewed set limits on large exposures for banks and define a related group of borrowers in line with recommended international standards. The major differences identified among countries include how to determine the credit exposure, the application of the exposure limits on a consolidated basis, and whether to impose limits on exposure to a specific sector.
Benchmarks And Investment Management
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Author : Laurence B. Siegel
language : en
Publisher: Research Foundation Publications
Release Date : 2003
Benchmarks And Investment Management written by Laurence B. Siegel and has been published by Research Foundation Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Corporate Governance Models And Applications In Developing Economies
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Author : Agyemang, Otuo Serebour
language : en
Publisher: IGI Global
Release Date : 2019-08-30
Corporate Governance Models And Applications In Developing Economies written by Agyemang, Otuo Serebour and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-08-30 with Business & Economics categories.
Virtually all developing, transitioning, and emerging-market economies are faced with one pressing concern at the moment: how to establish the groundwork for long-term economic performance and competitiveness in a diverse market. However, without the existence of good corporate governance in these economies, small enterprise will cease to exist in developing countries. Corporate Governance Models and Applications in Developing Economies is a collection of innovative research that contributes to the better understanding of corporate governance models by documenting the structures, principles, tenets, case studies, and applications for the development of good business practices in developing economies. While highlighting topics including risk management, financial distress, and insider trading, this book is ideally designed for corporate managers, executives, economists, strategists, investors, shareholders, students, researchers, academicians, business professionals, and policymakers.
Emerging Trends In Banking And Finance
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Author : Nesrin Ozatac
language : en
Publisher: Springer
Release Date : 2018-10-26
Emerging Trends In Banking And Finance written by Nesrin Ozatac and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-26 with Business & Economics categories.
This volume presents current developments in the fields of banking and finance from an international perspective. Featuring contributions from the 3rd International Conference on Banking and Finance Perspectives (ICBFP), this volume serves as a valuable forum for discussing current issues and trends in the banking and financial sectors, especially in light of the global economic challenges triggered by financial institutions. Using the latest theoretical models, new perspectives are brought to topics such as e-finance and e-banking, Islamic banking, capital flight, bank efficiency, risk assessment, bankruptcy, investment diversification, and insider trading. Offering an opportunity to explore the challenges of a rapidly changing industry, this volume will be of interest to academics, policy makers, and scholars in the fields of banking, insurance, and finance.
Credit Portfolio Management
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Author : Charles Smithson
language : en
Publisher: John Wiley & Sons
Release Date : 2003-04-07
Credit Portfolio Management written by Charles Smithson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-07 with Business & Economics categories.
A cutting-edge text on credit portfolio management Credit risk. A number of market factors are causing revolutionary changes in the way it is measured and managed at financial institutions. Charles Smithson, author of the bestselling Managing Financial Risk, introduces a portfolio management approach to credit in his latest book. Understanding how to manage the inherent risks of this market has become increasingly important over the years. Credit Portfolio Management provides readers with a complete understanding of the alternative approaches to credit risk measurement and portfolio management. This definitive guide discusses the pricing and managing of credit risks associated with a variety of off-balance-sheet products such as credit default swaps, total return swaps, first-to-default baskets, and credit spread options; as well as on-balance-sheet customized structured products such as credit-linked notes, repackage notes, and synthetic collateralized debt obligations (CDOs). Filled with expert insight and advice, this book is a must-read for all credit professionals. Charles W. Smithson, PhD (New York, NY), is the Managing Partner of Rutter Associates and Executive Director of the International Association of Credit Portfolio Managers (IACPM). He is the author of five books, including The Handbook of Financial Engineering and Managing Financial Risk (now in its Third Edition).
Granularity Adjustment For Basel Ii
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Author : Michael B. Gordy
language : en
Publisher:
Release Date : 2007
Granularity Adjustment For Basel Ii written by Michael B. Gordy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Loan Portfolio Management
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Author :
language : en
Publisher:
Release Date : 1998
Loan Portfolio Management written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Agricultural credit categories.