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Publication
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of GraphSearch.
The impact of capital mobility restrictions on the diversification benefit for risk at the group level of a financial conglomerate is an important aspect in risk management. In this paper we propose a new bottom-up approach for realizing diversification benefits using some predetermined capital and risk transfer instruments, taking counter-party default risk into account.
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