Banks' pooling of corporate debt: An application of the restated diversification theorem

Frederik Lundtofte

doi:10.1016/j.najef.2014.12.003

Banks' pooling of corporate debt: An application of the restated diversification theorem

Frederik Lundtofte^*

^*Kontaktforfatter

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

Abstract

We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations.

Originalsprog	Engelsk
Tidsskrift	North American Journal of Economics and Finance
Vol/bind	31
Sider (fra-til)	249-263
Antal sider	15
ISSN	1062-9408
DOI	https://doi.org/10.1016/j.najef.2014.12.003
Status	Udgivet - 1 jan. 2015
Udgivet eksternt	Ja

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10.1016/j.najef.2014.12.003

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title = "Banks' pooling of corporate debt: An application of the restated diversification theorem",

abstract = "We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations.",

keywords = "Corporate debt, Default correlation, Probability of default, Risk pooling",

author = "Frederik Lundtofte",

year = "2015",

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doi = "10.1016/j.najef.2014.12.003",

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AB - We analyze banks' pooling of corporate loans and propose Pareto-improving sharing rules that depend only on the relative sizes of the loans. Implementation of these sharing rules do not require any precise knowledge of default probabilities or default correlations.

KW - Corporate debt

KW - Default correlation

KW - Probability of default

KW - Risk pooling

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U2 - 10.1016/j.najef.2014.12.003

DO - 10.1016/j.najef.2014.12.003

M3 - Journal article

AN - SCOPUS:84919932985

SN - 1062-9408

VL - 31

SP - 249

EP - 263

JO - North American Journal of Economics and Finance

JF - North American Journal of Economics and Finance

ER -

Banks' pooling of corporate debt: An application of the restated diversification theorem

Abstract

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