November 2007
Intermediate to advanced
216 pages
7h 20m
English
Content preview from The Analytics of Risk Model ValidationBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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5
Measuring concentration risk in credit portfolios
Klaus Duellmann** Deutsche Bundesbank, Frankfurt, Germany. The views expressed here are my own and do not necessarily reflect those of the Deutsche Bundesbank.
Abstract
This paper addresses the need to measure the concentration risk in credit portfolios, which is not captured by banks’ minimum capital requirements in the internal rating-based approaches under Basel II. Concentration risk can arise from an unbalanced distribution of exposures to single borrowers (single name concentrations) or sectors (sectoral concentrations), the latter being more difficult to discern and address using quantitative models. Simple concentration indices, an extension of the single-factor model on which the regulatory ...
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