Deriving Credit Portfolio Diversification Properties from Large Asset-Backed Security Pools

@article{Mason2005DerivingCP,
  title={Deriving Credit Portfolio Diversification Properties from Large Asset-Backed Security Pools},
  author={Joseph R. Mason and Eric James Higgins},
  journal={Monetary Economics},
  year={2005}
}
The present analysis estimates Markowitz portfolio correlations for retail loan portfolios. The correlations are derived from almost $1 trillion of asset backed security pools originated by more than five hundred issuers between January 2000 and September 2003. Such a broad sample, comprised of several hundred thousand pool-month observations, provides a unique opportunity to infer asset correlation structures of commercial bank assets. Since the types of loans analyzed are rarely traded… 
2 Citations
Diversification in Banking and its Effect on Banks' Performance: Evidence from Turkey 1
This paper examines the effect of sectoral and geographical diversification on the performance of Turkish banks and try to show how the diversification affects banks’ performance. The study asks
INFLUENCE OF PRODUCT DIVERSIFICATION ON THE FINANCIAL PERFORMANCE OF SELECTED COMMERCIAL BANKS IN KENYA
Product diversification that includes new markets, technology, information flow and innovativeness have seen an unprecedented development and growth during the last few years and it is becoming a

References

SHOWING 1-10 OF 30 REFERENCES
Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios
We study empirically the effect of focus (specialization) vs. diversification on the return and the risk of banks using data from 105 Italian banks over the period 1993-1999. Specifically, we analyze
Portfolio Selection: Efficient Diversification of Investments
So it is equal to the group of portfolio will be sure. See dealing with the standard deviations. See dealing with terminal wealth investment universe. Investors are rational and return at the point.
Diversification, Size, and Risk at Bank Holding Companies
This paper shows that large bank holding companies (BHCs) are better diversified than small BHCs based on market measures of diversification. The authors find, however, that better diversification
Information and Bank Credit Allocation
Private information obtained by lenders leads to borrower capture to the extent that such information cannot be communicated credibly to outsiders. We analyze how this capture affects the loan
Product Mix and Earnings Volatility at Commercial Banks: Evidence from a Degree of Leverage Model
We construct a degree-of-total-leverage framework to test whether and how shifts in product mix affect earnings volatility at 472 U.S. commercial banks between 1988 and 1995. Our framework, which
Is There a Diversification Discount in Financial Conglomerates?
Do Bankers Sacrifice Value to Build Empires? Managerial Incentives, Industry Consolidation, and Financial Performance
Bank consolidation is a global phenomenon that may enhance stakeholders value if managers do not sacrifice value to build empires. We find strong evidence of managerial entrenchment at U.S. bank
The Return to Retail and the Performance of U.S. Banks
The U.S. banking industry is experiencing a renewed focus on retail banking, a trend often attributed to the stability and profitability of retail activities. This paper examines the impact of banks'
Improved Estimates of Correlation Coefficients and Their Impact on Optimum Portfolios
To implement mean variance analysis one needs a technique for forecasting correlation coefficients. In this article we investigate the ability of several techniques to forecast correlation
...
1
2
3
...