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Portfolio diversification in concentrated bond and loan portfolios

Author

Listed:
  • Paul H. Kupiec

    (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.

Suggested Citation

  • Paul H. Kupiec, 2015. "Portfolio diversification in concentrated bond and loan portfolios," AEI Economics Working Papers 837343, American Enterprise Institute.
    • Handle: RePEc:aei:rpaper:837343
    as

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    File URL: http://www.aei.org/publication/portfolio-diversification-in-concentrated-bond-and-loan-portfolios
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    References listed on IDEAS

    as
    1. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    2. Gordy, Michael B. & Marrone, James, 2012. "Granularity adjustment for mark-to-market credit risk models," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1896-1910.
    3. Paul Kupiec, 2007. "Capital Allocation for Portfolio Credit Risk," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 103-122, October.
    4. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Kupiec, Paul, 2015. "Capital for concentrated credit portfolios," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, vol. 8(4), pages 314-322, October.

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    More about this item

    Keywords

    capital requirements; Bank regulation;

    JEL classification:

    • A - General Economics and Teaching

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