Concentration Risk In Credit Portfolios

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Concentration Risk In Credit Portfolios

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Author : Eva Lütkebohmert
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-30

Concentration Risk In Credit Portfolios written by Eva Lütkebohmert and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-30 with Mathematics categories.

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 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

Risk Management In Credit Portfolios

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Author : Martin Hibbeln
language : en
Publisher: Springer
Release Date : 2010-10-02

Risk Management In Credit Portfolios written by Martin Hibbeln and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-02 with categories.

Measuring Concentration Risk A Partial Portfolio Approach

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Author : Pierpaolo Grippa
language : en
Publisher: International Monetary Fund
Release Date : 2016-08-02

Measuring Concentration Risk A Partial Portfolio Approach written by Pierpaolo Grippa and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-08-02 with Business & Economics categories.

Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover concentration risk, and those calculated under the Internal Ratings Based (IRB) approach explicitly exclude it. Banks are expected to compensate for this by autonomously estimating and setting aside appropriate capital buffers, which supervisors are required to assess and possibly challenge within the Pillar 2 process. Inadequate reflection of this risk can lead to insufficient capital levels even when the capital ratios seem high. We propose a flexible technique, based on a combination of “full” credit portfolio modeling and asymptotic results, to calculate capital requirements for name and sector concentration risk in banks’ portfolios. The proposed approach lends itself to be used in bilateral surveillance, as a potential area for technical assistance on banking supervision, and as a policy tool to gauge the degree of concentration risk in different banking systems.

Quantitative Credit Portfolio Management

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Author : Arik Ben Dor
language : en
Publisher: John Wiley & Sons
Release Date : 2011-12-06

Quantitative Credit Portfolio Management written by Arik Ben Dor and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-06 with Business & Economics categories.

An innovative approach to post-crash credit portfolio management Credit portfolio managers traditionally rely on fundamental research for decisions on issuer selection and sector rotation. Quantitative researchers tend to use more mathematical techniques for pricing models and to quantify credit risk and relative value. The information found here bridges these two approaches. In an intuitive and readable style, this book illustrates how quantitative techniques can help address specific questions facing today's credit managers and risk analysts. A targeted volume in the area of credit, this reliable resource contains some of the most recent and original research in this field, which addresses among other things important questions raised by the credit crisis of 2008-2009. Divided into two comprehensive parts, Quantitative Credit Portfolio Management offers essential insights into understanding the risks of corporate bonds—spread, liquidity, and Treasury yield curve risk—as well as managing corporate bond portfolios. Presents comprehensive coverage of everything from duration time spread and liquidity cost scores to capturing the credit spread premium Written by the number one ranked quantitative research group for four consecutive years by Institutional Investor Provides practical answers to difficult question, including: What diversification guidelines should you adopt to protect portfolios from issuer-specific risk? Are you well-advised to sell securities downgraded below investment grade? Credit portfolio management continues to evolve, but with this book as your guide, you can gain a solid understanding of how to manage complex portfolios under dynamic events.

Single Name Concentration Risk In Credit Portfolios

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Author : Raffaella Calabrese
language : en
Publisher:
Release Date : 2012

Single Name Concentration Risk In Credit Portfolios written by Raffaella Calabrese and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.

A Tractable Model To Measure Sector Concentration Risk In Credit Portfolios

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Author : Klaus Duellmann
language : en
Publisher:
Release Date : 2006

A Tractable Model To Measure Sector Concentration Risk In Credit Portfolios written by Klaus Duellmann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

This paper explores a simplified version of the analytic value-at-risk approximation developed by Pykhtin (2004) which only requires risk parameters on a sector level. This approach is applied to measure the impact of credit concentrations in business sectors on the economic capital of credit portfolios. The sector composition of the portfolios is based on credit information from the German central credit register. Sensitivity analyses with various input parameters show that the analytic approximation formulae perform very well for fine-grained portfolios which are homogeneous on a sector level in terms of PD and exposure size. Furthermore, we explore the robustness of our results for portfolios which are heterogeneous in terms of these two characteristics. We find that low granularity ceteris paribus causes the analytic approximation formulae to underestimate economic capital, whereas heterogeneity in individual PDs causes overestimation. Indicative results imply that in typical credit portfolios of banks, PD heterogeneity will at least compensate for the granularity effect. This suggests that the analytic approximations estimate economic capital reasonably well and/or err on the conservative side.

Concentration Risk Under Pillar 2

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Author : Marc Gürtler
language : de
Publisher:
Release Date : 2006

Concentration Risk Under Pillar 2 written by Marc Gürtler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.

Credit Portfolio Management

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Author : Michael Hünseler
language : en
Publisher: Springer
Release Date : 2013-07-30

Credit Portfolio Management written by Michael Hünseler and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-30 with Business & Economics categories.

Credit Portfolio Management is a topical text on approaches to the active management of credit risks. The book is a valuable, up to date guide for portfolio management practitioners. Its content comprises of three main parts: The framework for managing credit risks, Active Credit Portfolio Management in practice and Hedging techniques and toolkits.

Analysis On Credit Concentration Risk And Npa In Banks Portfolio

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Author : Theerthaana P.
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2014-02-26

Analysis On Credit Concentration Risk And Npa In Banks Portfolio written by Theerthaana P. and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-26 with categories.

'Analysis on credit concentration risk and NPA in Bank's Portfolio' analyzes the credit portfolio composition of a large and medium sized commercial bank in India to understand the nature and dimensions of industry -wise credit concentration risk and also evaluates its influence on Non-Performing Assets of the banks. The required data for this study was collected from industry-wise loan exposures of Indian Overseas Bank and yearly NPAs of the bank. The industry-wise credit concentration risk for each year is calculated by using Herfindahl-Hirschman Index (HHI index). Multiple Linear Regression Analysis was run on SPSS 19.0 to quantify the relationship between the credit concentration risk and Non-Performing Assets of the commercial bank. The results indicate that there exists a strong positive relationship between the industry-wise concentration risk and NPA of the commercial bank. Hence it is highly desirable for the commercial banks to have a diversified portfolio in order to reduce their Non -Performing Assets.

Granularity Adjustment For Basel Ii

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Author : Michael B. Gordy
language : en
Publisher:
Release Date : 2007

Granularity Adjustment For Basel Ii written by Michael B. Gordy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.