Arbeitspapier | Working paper

Measuring concentration risk for regulatory purposes

to connected objects

"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]

Extent: Seite(n): 49

Language: Englisch

Bibliographic citation: IF Working Paper Series (IF26V4)

Subject: Wirtschaft
Finanzwirtschaft, Rechnungswesen
Kredit
Risiko
Investition
Kapital
Wirtschaft

Event: Geistige Schöpfung

(who): Gürtler, Marc
Hibbeln, Martin
Vöhringer, Clemens

Event: Veröffentlichung

(who): Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft

(where): Deutschland, Braunschweig

(when): 2007

Handle: http://hdl.handle.net/10419/55249

Last update: 21.06.2024, 4:27 PM CEST

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Object type

Arbeitspapier

Associated

Gürtler, Marc
Hibbeln, Martin
Vöhringer, Clemens
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft

Time of origin

2007

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