The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
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- M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification," IEPR Working Papers 05.25, Institute of Economic Policy Research (IEPR).
References listed on IDEAS
- Jeffery D. Amato & Eli M Remolona, 2005. "The pricing of unexpected credit losses," BIS Working Papers 190, Bank for International Settlements.
- Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
- Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
- Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002.
"Ratings migration and the business cycle, with application to credit portfolio stress testing,"
Journal of Banking & Finance,
Elsevier, vol. 26(2-3), pages 445-474, March.
- Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
- Kapetanios, G. & Pesaran, M.H., 2005.
"Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns,"
Cambridge Working Papers in Economics
0520, Faculty of Economics, University of Cambridge.
- George Kapetanios & M. Hashem Pesaran, 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," CESifo Working Paper Series 1416, CESifo Group Munich.
- George Kapetanios & M. Hashem Pesaran, 2005. "Alternative Approaches to Estimation and Inference in Large Multifactor Panels: Small Sample Results with an Application to Modelling of Asset Returns," Working Papers 536, Queen Mary University of London, School of Economics and Finance.
- Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Working Paper Research 105, National Bank of Belgium.
More about this item
KeywordsRisk management; default dependence; economic interlinkages; portfolio choice;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-06-05 (All new papers)
- NEP-BEC-2005-06-05 (Business Economics)
- NEP-FIN-2005-06-05 (Finance)
- NEP-GEO-2005-06-05 (Economic Geography)
- NEP-MAC-2005-06-05 (Macroeconomics)
- NEP-RMG-2005-06-05 (Risk Management)
- NEP-URE-2005-06-05 (Urban & Real Estate Economics)
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