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حسابداری و مالی::
پرتفوی همگن
, when all PDs, LGDs and EADs are assumed to be known but not the dependence), some explicit bounds were found by Ru¨schendorf (1982) for the two- dimensional case and by Puccetti and Ru¨schendorf (2012b) for homogeneous portfolios in higher dimensions.
The following proposition provides a sharp upper VaR bound for a homogeneous portfolio.
Proposition 5.3 (Sharp moment-constrained bounds for a homogeneous portfolio).
Assuming a homogeneous portfolio (vi = v, ρij = ρ) and asset returns that are driven by one single factor M only, then when the number of loans n → ∞, we find that
6.2.1 Homogeneous portfolio (Beta model)
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