ENGLISH

Risk Management in Credit Portfolios: Concentration Risk and Basel II

By Martin Hibbeln (auth.)

Book information

Publisher
Physica-Verlag Heidelberg
Year
2010
ISBN
978-3-7908-2607-4, 3790826073, 978-3-7908-2606-7
DOI
10.1007/978-3-7908-2607-4
Language
english
Format
PDF
Filesize
3 MB (3190392 bytes)
Series
Contributions to economics
Edition
1
Pages
248\267
Topic
Business Management
Time added
2014-06-12 06:00:00
Finance/Investment/Banking; Financial Economics; Q

Description

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.

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