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Measuring concentration risk for regulatory purposes
[Arbeitspapier]
Körperschaftlicher Herausgeber
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 ... mehr
"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]... weniger
Thesaurusschlagwörter
Kredit; Risiko; Investition; Kapital; Wirtschaft
Klassifikation
Finanzwirtschaft, Rechnungswesen
Freie Schlagwörter
Concentration Risk; Pillar 2; Multi-Factor Models; Economic Capital; Simulation Study; Value at Risk; Expected Shortfall
Sprache Dokument
Englisch
Publikationsjahr
2007
Erscheinungsort
Braunschweig
Seitenangabe
49 S.
Schriftenreihe
IF Working Paper Series, IF26V4
Handle
https://hdl.handle.net/10419/55249
Status
begutachtet
Lizenz
Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung
DatenlieferantDieser Metadatensatz wurde vom Sondersammelgebiet Sozialwissenschaften (USB Köln) erstellt.