An Analysis of Private Loan Guarantee Portfolios
作者： M. Michel Gendron , Van Son Lai , Issouf Soumaré
DOI: 10.2139/SSRN.314386
关键词: Leverage (finance) 、 Loan guarantee 、 Loan 、 Financial system 、 Monetary economics 、 Business 、 Credit risk 、 Diversification (finance) 、 Portfolio 、 Baseline values
摘要: We use contingent claims analysis to evaluate portfolios of vulnerable private loan guarantees and investigate their risk diversification properties. find that for plausible baseline values the parameters, diversifiable credit can be eliminated in a portfolio ten insured firms. also show further achieved by an appropriate choice firms' postures correlations between them guarantor. Our results suggest that, high leverage cases, guarantors do better through size than seeking cross-sector diversification.
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