Measuring concentration risk for regulatory purposes

Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens

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[working paper]

dc.contributor.author	Gürtler, Marc	de
dc.contributor.author	Hibbeln, Martin	de
dc.contributor.author	Vöhringer, Clemens	de
dc.date.accessioned	2012-05-29T14:02:00Z	de
dc.date.accessioned	2013-01-25T14:57:27Z
dc.date.available	2013-01-25T14:57:27Z
dc.date.issued	2007	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/32892
dc.description.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]	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Concentration Risk; Pillar 2; Multi-Factor Models; Economic Capital; Simulation Study; Value at Risk; Expected Shortfall
dc.title	Measuring concentration risk for regulatory purposes	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.identifier.url	http://www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/IF26.pdf	de
dc.source.volume	IF26V4	de
dc.publisher.country	DEU
dc.publisher.city	Braunschweig	de
dc.source.series	IF Working Paper Series
dc.subject.classoz	Finanzwirtschaft, Rechnungswesen	de
dc.subject.classoz	Financial Planning, Accountancy	en
dc.subject.thesoz	Kredit	de
dc.subject.thesoz	credit	en
dc.subject.thesoz	Risiko	de
dc.subject.thesoz	risk	en
dc.subject.thesoz	Investition	de
dc.subject.thesoz	investment	en
dc.subject.thesoz	Kapital	de
dc.subject.thesoz	capital	en
dc.subject.thesoz	Wirtschaft	de
dc.subject.thesoz	economy	en
dc.date.modified	2012-05-29T14:02:00Z	de
dc.rights.licence	Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung	de
dc.rights.licence	Deposit Licence - No Redistribution, No Modifications	en
ssoar.contributor.institution	USB Köln	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10040501
internal.identifier.thesoz	10045555
internal.identifier.thesoz	10037283
internal.identifier.thesoz	10041542
internal.identifier.thesoz	10053629
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.rights.copyright	f	de
dc.source.pageinfo	49	de
internal.identifier.classoz	1090406
internal.identifier.document	3
dc.contributor.corporateeditor	Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor	434
internal.identifier.ddc	330
dc.description.pubstatus	Unknown	en
dc.description.pubstatus	unbekannt	de
internal.identifier.licence	3
internal.identifier.pubstatus	4
internal.identifier.review	2
internal.identifier.series	675
dc.identifier.handle	https://hdl.handle.net/10419/55249
internal.check.abstractlanguageharmonizer	CERTAIN

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Finanzwirtschaft, Rechnungswesen
Financial Planning, Accountancy

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