| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP3030 |
| DP3030 Corporate Debt Restructuring: Evidence on Lending Coordination in Financial Distress | |
| Jan Pieter Krahnen; Antje Brunner | |
| 发表日期 | 2001-10-23 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In this Paper, I first provide a simple unifying approach to static Mean-Variance analysis and Value at Risk, which highlights their similarities and differences. Then I use it to explain how fund managers can take investment decisions that satisfy the VaR restrictions imposed on them by regulators, within the well-known Mean-Variance allocation framework. I do so by introducing a new type of line to the usual mean-standard deviation diagram, called IsoVaR,which represents all the portfolios that share the same VaR for a fixed probability level. Finally, I analyse the 'shadow cost' of a VaR constraint. |
| 主题 | Financial Economics |
| 关键词 | Risk management Portfolio frontier Market risk capital |
| URL | https://cepr.org/publications/dp3030 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/532054 |
| 推荐引用方式 GB/T 7714 | Jan Pieter Krahnen,Antje Brunner. DP3030 Corporate Debt Restructuring: Evidence on Lending Coordination in Financial Distress. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
