Arbeitspapier | Working paper
Measuring concentration risk for regulatory purposes
"The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent with the Pillar 1 capital requirements. Therefore, we adjust these models to achieve Basel II-compliant results. Within a simulation study we test the impact of sector concentrations on several portfolios and contrast the accuracy of the different models. In this context, we also compare Value at Risk and Expected Shortfall regarding their suitability to assess concentration risk." [author's abstract]
- Umfang
-
Seite(n): 49
- Sprache
-
Englisch
- Erschienen in
-
IF Working Paper Series (IF26V4)
- Thema
-
Wirtschaft
Finanzwirtschaft, Rechnungswesen
Kredit
Risiko
Investition
Kapital
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gürtler, Marc
Hibbeln, Martin
Vöhringer, Clemens
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
- (wo)
-
Deutschland, Braunschweig
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gürtler, Marc
- Hibbeln, Martin
- Vöhringer, Clemens
- Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Entstanden
- 2007
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