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Applying portfolio theory to global bank lending
9 references·3 citing·45 second hop
Applying portfolio theory to global bank lending (1984)Applying portfolio theory to global bank …Corporate Financial Distress (2018)Corporate Financial DistressHuman Capital (1983)Human CapitalFixed Versus Variable Rate Loans (1983)Fixed Versus Variable Rate Lo…Risk Assessments and Risk Premiums in the Eurodollar Market (1982)Risk Assessments and Risk Pre…The probability of bankruptcy (1981)The probability of bankruptcyDebt with Potential Repudiation: Theoretical and Empirical Analysis (1981)Debt with Potential Repudiati…Option pricing (1976)Option pricingOn the Application of Portfolio Theory to Depository Financial Intermediaries (1974)On the Application of Portfol…Portfolio Theory and Capital Markets. (1972)Portfolio Theory and Capital …Large-Scale Loan Portfolio Selection (2015)Large-Scale Loan Portfolio Se…Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios (2001)Comparative analysis of alter…A framework for assessing credit risk in depository institutions: Toward regulatory reform (1991)A framework for assessing cre…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The information content of option prices and a test of market efficiency (1978)A Quick Algorithm for Pricing European Average Options (1991)Striking oil: Another puzzle? (2008)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)Using Operating Cash Flow Data to Predict Financial Distress: Some Extensions (1985)The Analysis and Use of Financial Ratios: A Review Article (1987)PREDICTING BANKRUPTCY FOR FIRMS IN FINANCIAL DISTRESS (1990)Optimum consumption and portfolio rules in a continuous-time model (1971)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Risk Aversion in the Small and in the Large (1976)Market power and firm risk (1982)Credit risk measurement (1992)Regulating financial conglomerates (2007)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Defaultable debt, interest rates and the current account (2005)Default Risk and Income Fluctuations in Emerging Economies (2007)How Sovereign Is Sovereign Credit Risk? (2011)Agency Problems and the Theory of the Firm (1980)Credit Rationing in Markets with Imperfect Information (1981)Credit rationing and implicit contract theory (1986)The large-small bank dichotomy in the federal funds market (1986)Forecasting required loan loss reserves (1993)Regression methods for pricing complex American-style options (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Consumer credit-risk models via machine-learning algorithms (2010)Online Risk Monitoring Using Offline Simulation (2019)Impacts of Extreme Weather Events on Mortgage Risks and Their Evolution under Climate Change: A Case Study on Florida (2021)Financial Ratios As Predictors of Failure (1966)Indicators of Fragility in the UK Corporate Sector (2001)Variables y Modelos Para La Identificación y Predicción Del Fracaso Empresarial: Revisión de La Investigación Empírica Reciente (2012)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)CORPORATE BANKRUPTCY AND INSOLVENCY PREDICTION MODEL (2021)The New Institutionalism: Organizational Factors in Political Life (1983)Rhetoric of Economics (1998)Random matrix approach to cross correlations in financial data (2002)An estimation model for country risk rating (1992)Are the credit ratings assigned by bankers based on the willingness of LDC borrowers to repay? (1993)Does membership in international organizations increase governments’ credibility? Testing the effects of delegating powers (2011)On the mechanics of economic development (1988)Social Capital in the Creation of Human Capital (2000)School readiness and later achievement. (2007)
this work references cited by second hop

References

  • 1983Human Capital6,652 cited
  • 1981Debt with Potential Repudiation: Theoretical and Empirical Analysis2,611 cited
  • 1972Portfolio Theory and Capital Markets.1,221 cited
  • 1976Option pricing473 cited
  • 1981The probability of bankruptcy334 cited
  • 1974On the Application of Portfolio Theory to Depository Financial Intermediaries197 cited
  • 1982Risk Assessments and Risk Premiums in the Eurodollar Market78 cited
  • 1983Fixed Versus Variable Rate Loans64 cited
  • 2018Corporate Financial Distress62 cited

Cited by

  • 2015Large-Scale Loan Portfolio Selection32 cited
  • 1991A framework for assessing credit risk in depository institutions: Toward regulatory reform24 cited
  • 2001Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios20 cited

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