Concentration Risk in Credit Portfolios Eva Lutkebohmert

ISBN: 9783540708698

Published: October 21st 2008

Paperback

225 pages


Description

Concentration Risk in Credit Portfolios  by  Eva Lutkebohmert

Concentration Risk in Credit Portfolios by Eva Lutkebohmert
October 21st 2008 | Paperback | PDF, EPUB, FB2, DjVu, audiobook, mp3, RTF | 225 pages | ISBN: 9783540708698 | 6.60 Mb

Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress.MoreModeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress.

Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models.The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level.

Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated.On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective



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