This chapter focuses on the measurement of single-name concentrations in loan portfolios. As already mentioned in Chapter 7, we can decompose credit risk in loan portfolios into a systematic and an idiosyncratic component. Systematic risk represents the effect of unexpected changes in macroeconomic and financial market conditions on the performance of borrowers while idiosyncratic risk represents the effects of risks that are particular to individual borrowers.
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© 2009 Springer-Verlag Berlin Heidelberg
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(2009). Name Concentration. In: Concentration Risk in Credit Portfolios. EAA Lecture Notes. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-70870-4_9
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DOI: https://doi.org/10.1007/978-3-540-70870-4_9
Publisher Name: Springer, Berlin, Heidelberg
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