Cyclical correlations, credit contagion, and portfolio losses
Article Abstract:
An analysis of overall credit losses on large portfolios of financial contracts with firms that are subject to both cyclical default correlation and direct contagion processes is furnished. FirmEs relation to overall economic factors causes cyclical default and the contagion default is caused by local interaction of the firm with its business partners.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2004
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Comment on 'optimal portfolio selection in a value-at-risk framework.'
Article Abstract:
Clarifications on risk-free ratio methods, which are used to evaluate portfolio allocation problems, are presented.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2005
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A further look at household portfolio choice and health status
Article Abstract:
A study is conducted to examine the relationship between health status and financial portfolio choice.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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