International diversification and global credit risk: a methodology for portfolio building

Martín Bujack, Karin Alejandra Irene, Corzo Santamaría, María Teresa, Figuerola Ferretti Garrigues, Isabel Catalina

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2018
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Abstract

credi risk and portfolio diversification
Credit risk has recently been identified as a cause of declining international diversification capacity; in this paper we offer an alternative methodology to create an equity portfolio with exposure to global credit risk and controlled market risk. Following the factor decomposition methodology, we reduce a sample of the biggest international companies to a portfolio composed by just 11 stocks, representing different risk factors, which show high diversification in terms of systematic risk and a risk-return binomial comparable to benchmark international equity indices
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Keywords

Behavioral Finance y alternativas a la teoría financiera clásica - Finanzas Cuantitativas, diversificación, riesgo global de crédito, inversiones, riesgo de mercado, diversification, global credit risk, investments, market risk, Credit Default Swap.

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