BMGT 445 lecture 7

BMGT 445 lecture 7 - BMGT445 ProfessorEthanCohenCole

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Click to edit Master subtitle style 3/1/11 BMGT 445 Professor Ethan Cohen-Cole Lecture 7
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3/1/11 Key concepts Portfolios of loans
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3/1/11 Loan  Concentratio n Ratings transitions Diversification Simple concentration methods: Limit total loans to single firm Sector
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3/1/11 Loan  Concentratio n Ratings transitions Diversification Transitions Risk grade: end of year Risk grade: 1 2 3 Default 1| .85 .10 .04.01
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3/1/11 Loan  Concentratio n Ratings transitions Diversification Simple concentration model Use risk grades and transitions Place limits On loans to
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3/1/11 Loan  Concentratio n Ratings transitions Diversificati on Diversification and Modern Portfolio Theory Applying portfolio theory to loans Using loans
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3/1/11 Loan  Concentratio n Ratings transitions Diversificati on = = n i i i p R X R 1 ∑∑ ∑∑ = = = = = = + = n i n j j i j i j i n i n i j i j i n j i i p X X X X X 1 1 , 1 1 , 1 2 2 2 σ ρ Expected Return: Variance:
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3/1/11 Loan  Concentratio n Ratings transitions
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This note was uploaded on 02/28/2011 for the course BMGT 445 taught by Professor Malmquist during the Spring '09 term at Maryland.

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BMGT 445 lecture 7 - BMGT445 ProfessorEthanCohenCole

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