Risk Management in Credit Portfolios Concentration Risk and Basel II /

• Main Author: Hibbeln, Martin. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Heidelberg : Physica-Verlag HD : Imprint: Physica, 2010.
• Series: Contributions to Economics,
• Subjects: Economics.; Finance.; Economics/Management Science.; Finance/Investment/Banking.; Financial Economics.; Quantitative Finance.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-7908-2607-4

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...

Table of Contents:

• 1 Introduction. 2 Credit Risk Measurement in the Context of Basel II
• 3 Concentration Risk in Credit Portfolios and its Treatment under Basel II. 4 Model-Based Measurement of Name Concentration Risk in Credit Portfolios
• 5 Model-Based Measurement of Sector Concentration Risk in Credit Portfolios
• 6 Conclusion
• References. - Index.