Registro completo de metadatos
Campo DC | Valor |
---|---|
dc.contributor.author | Mencía, Javier |
dc.coverage.spatial | España |
dc.date.accessioned | 2019-08-10T17:55:31Z |
dc.date.available | 2019-08-10T17:55:31Z |
dc.date.issued | 2009-06-12 |
dc.identifier.issn | ISSN: 0213-2710 (en papel) |
dc.identifier.issn | ISSN: 1579-8666 (en línea) |
dc.identifier.uri | https://repositorio.bde.es/handle/123456789/7009 |
dc.description.abstract | 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 |
dc.format.extent | 42 p. : tab., gráf. |
dc.language.iso | en |
dc.publisher | Banco de España |
dc.relation.ispartof | Documentos de Trabajo / Banco de España, 0911 |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) |
dc.rights | In Copyright - Non Commercial Use Permitted |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES |
dc.rights.uri | http://rightsstatements.org/vocab/InC-NC/1.0/ |
dc.subject | Credit risk |
dc.subject | Probability of default |
dc.subject | Asset pricing |
dc.subject | Mean-variance allocation |
dc.subject | Stochastic discount factor |
dc.subject | Value at risk |
dc.title | Assessing the risk-return trade-off in loan portfolios |
dc.type | Documento de trabajo |
dc.identifier.bdebib | 000343380 |
dc.identifier.bdepub | DTRA-200911-eng |
dc.subject.bde | Valoración de activos |
dc.subject.bde | Riesgos y liquidez |
dc.subject.bde | Créditos |
dc.publisher.bde | Madrid : Banco de España, 2009 |
dc.subject.jel | G21 |
dc.subject.jel | G12 |
dc.subject.jel | G11 |
dc.subject.jel | C32 |
dc.subject.jel | D81 |
dc.subject.jel | G28 |