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EAA Series

Concentration Risk in Credit Portfolios

Authors: Lütkebohmert, Eva

  • Important topic in credit risk modeling
  • Important for both practitioners and researchers
  • Much of the material covered appears for the first time in book form
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eBook $39.99
price for USA (gross)
  • ISBN 978-3-540-70870-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-540-70869-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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

Reviews

From the reviews:

"Concentration risk is one of the most important risk segments when measuring and presenting credit risk. … The … main part of the book presents the analysis of concentration risk in credit portfolios. … can be of tremendous value to practitioners in financial institutions measuring and reporting concentration risk. It could also be of great value for graduate students in statistics, applied mathematics, and economics to see the technical side of the measures of concentration risk." (Ita Cirovic Donev, The Mathematical Association of America, March, 2009)


Table of contents (16 chapters)

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-3-540-70870-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $49.99
price for USA
  • ISBN 978-3-540-70869-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Concentration Risk in Credit Portfolios
Authors
Series Title
EAA Series
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-70870-4
DOI
10.1007/978-3-540-70870-4
Softcover ISBN
978-3-540-70869-8
Series ISSN
1869-6929
Edition Number
1
Number of Pages
XVIII, 226
Number of Illustrations and Tables
17 b/w illustrations
Topics