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.
- URL: http://sfi.epfl.ch/files/content/sites/sfi/files/users/196224/public/vif5_groupdiversification.pdf
Record created on 2013-08-13, modified on 2016-08-09