Concentration Risk in Credit Portfolios (EAA Series) - Softcover

Buch 1 von 16: EAA Lecture Notes

Lutkebohmert, Eva

 
9783540708698: Concentration Risk in Credit Portfolios (EAA Series)
Softcover
ISBN 10: 3540708693 ISBN 13: 9783540708698
Verlag: Springer Berlin Heidelberg, 2008

Inhaltsangabe

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

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Verlag
Springer Berlin Heidelberg
Erscheinungsdatum
2008
Sprache
Englisch
ISBN 10 
3540708693
ISBN 13 
9783540708698
Einband
Taschenbuch
Anzahl der Seiten
244
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