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Measuring concentration risk for regulatory purposes
[working paper]
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 ... view more
"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]... view less
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
Handle
https://hdl.handle.net/10419/55249
Status
reviewed
Licence
Deposit Licence - No Redistribution, No Modifications
Data providerThis metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne