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Concentration Risk in Credit Portfolios

  • Eva Lütkebohmert

Part of the EAA Lecture Notes book series (EAAS)

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Introduction to Credit Risk Modeling

    1. Front Matter
      Pages 1-1
    2. Pages 3-7
    3. Pages 19-30
    4. Pages 43-51
    5. Pages 53-60
  3. Concentration Risk in Credit Portfolios

    1. Front Matter
      Pages 61-61
    2. Pages 63-66
    3. Pages 75-106
    4. Pages 107-129
  4. Default Contagion

    1. Front Matter
      Pages 149-149
    2. Pages 151-154
    3. Pages 165-171
    4. Pages 197-209
  5. Back Matter
    Pages 211-225

About this book

Introduction

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

Keywords

Concentration Risk Financial Economics Modeling Credit Risk Risk Management modeling

Authors and affiliations

  • Eva Lütkebohmert
    • 1
  1. 1.Inst. für Gesellschafts- und WirtschaftswissenschaftenUniversität BonnBonnGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-70870-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-70869-8
  • Online ISBN 978-3-540-70870-4
  • Series Print ISSN 1865-2174
  • Buy this book on publisher's site