Realizable Group Diversification Effects

The impact of capital mobility restrictions on the diversification benefit for risk at the group level of a financial conglomerate is an important aspect in risk management. In this paper we propose a new bottom-up approach for realizing diversification benefits using some predetermined capital and risk transfer instruments, taking counter-party default risk into account.


Year:
2008
Publisher:
Vienna, Vienna Institute of Finance
Laboratories:




 Record created 2013-08-13, last modified 2018-03-17

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