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Measuring concentration risk for regulatory purposes

[working paper]

Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens

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Please use the following Persistent Identifier (PID) to cite this document:http://hdl.handle.net/10419/55249

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Corporate Editor Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Abstract "The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent with the Pillar 1 capital requirements. Therefore, we adjust these models to achieve Basel II-compliant results. Within a simulation study we test the impact of sector concentrations on several portfolios and contrast the accuracy of the different models. In this context, we also compare Value at Risk and Expected Shortfall regarding their suitability to assess concentration risk." [author's abstract]
Keywords credit; risk; investment; capital; economy
Classification Financial Planning, Accountancy
Free Keywords Concentration Risk; Pillar 2; Multi-Factor Models; Economic Capital; Simulation Study; Value at Risk; Expected Shortfall
Document language English
Publication Year 2007
City Braunschweig
Page/Pages 49 p.
Series IF Working Paper Series, IF26V4
Licence Deposit Licence - No Redistribution, No Modifications
data provider This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne