Concentration Risk in Credit Portfolios
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. Therefore, concentration risk is highly relevant to a...
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| Format: | Electronic |
| Language: | English |
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Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
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| Series: | EAA Lecture Notes,
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| Online Access: | https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-70870-4 |
Table of Contents:
- Risk and Risk Measurement
- Modeling Credit Risk
- Industry Models for Credit Risk
- The Internal Ratings Based Approach
- Ad-Hoc Measures of Conentration
- Name Concentration
- Sector Concentration
- Empirical Studies on Concentration Risk
- Empirical Studies on Default Contagion
- Models Based on Copulas
- Equilibrium Models
- Interacting Default Intensity Models.