English, Article, Journal or magazine article edition: Assessing the risk-return trade-off in loans portfolios Javier Mencía

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Bookmark: http://trove.nla.gov.au/version/177656
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Assessing the risk-return trade-off in loans portfolios
Author
  • Javier Mencía
Physical Description
  • preprint
Notes
  • This paper analyses the risk and return of loans portfolios in a joint setting. I develop a model to obtain the distribution of loans returns. I use this model to describe the investment opportunity set of lenders using mean-variance analysis with a Value at Risk constraint. I also obtain closed form expressions for the interest rates that banks should set in compensation for borrowers' credit risk under absence of arbitrage opportunities and I use these rates as a benchmark to interpret actual loans' prices. Finally, I study the risk-return trade-off in an empirical application to the Spanish banking system.
  • Credit risk, Probability of default, Asset Pricing, Mean-Variance allocation, Stochastic Discount Factor, Value at Risk
  • RePEc:bde:wpaper:0911
Language
  • English
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