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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.
Type
report
Authors
Publication date
2008
Total of pages
21
EPFL units
Available on Infoscience
August 13, 2013
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