Banks' Pooling of Corporate Debt: An Application of the Restated Diversification Theorem
2011/08/02
研討會日期 : 2011-08-02
時間 : 14:30
主講人 : Professor Frederik Lundtofte
地點 : Conference Room B110
演講者簡介 : Frederik Lundtofte got his Ph.D. in Economics from Lund University in 2005. He is currently serving as Associate Professor of Department of Economics at Lund University. His research field is in portfolio choice, asset pricing, and incomplete information models.
演講摘要 : 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.
