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Risk Management in Credit Portfolios

Concentration Risk and Basel II

Physica,
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Kurzbeschreibung

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.

Details
Schlagworte

Titel: Risk Management in Credit Portfolios
Autoren/Herausgeber: Martin Hibbeln
Aus der Reihe: Contributions to Economics
Ausgabe: 2010

ISBN/EAN: 9783790826074

Seitenzahl: 248
Produktform: E-Book
Sprache: Englisch

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