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

  title={Deriving Credit Portfolio Diversification Properties from Large Asset-Backed Security Pools},
  author={Joseph R. Mason and Eric James Higgins},
  journal={Monetary Economics},
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… 
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