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Bibtex export

 

@book{ Gürtler2007,
 title = {Measuring concentration risk for regulatory purposes},
 author = {Gürtler, Marc and Hibbeln, Martin and Vöhringer, Clemens},
 year = {2007},
 series = {IF Working Paper Series},
 pages = {49},
 volume = {IF26V4},
 address = {Braunschweig},
 publisher = {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 = {Kredit; credit; Risiko; risk; Investition; investment; Kapital; capital; Wirtschaft; economy}}