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Risk Management in Credit Portfolios

Concentration Risk and Basel II

  • Book
  • © 2010

Overview

Authors:
  1. Martin Hibbeln

    1. , Institut für Finanzwirtschaft, Carl-Frie, Technische Universität Carolo-Wilhelmina, Braunschweig, Germany

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  • Presents the current state of research to concentration risk in credit portfolios
  • Covers all required fundamentals of credit risk modeling
  • Contains new research results concerning name and sector concentration risk
  • Integrates economical and regulatory aspects of concentration risk
  • Includes supplementary material: sn.pub/extras

Part of the book series: Contributions to Economics (CE)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xx
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  2. Introduction

    • Martin Hibbeln
    Pages 1-4

  3. Credit Risk Measurement in the Context of Basel II

    • Martin Hibbeln
    Pages 5-56

  4. Concentration Risk in Credit Portfolios and Its Treatment Under Basel II

    • Martin Hibbeln
    Pages 57-72

  5. Model-Based Measurement of Name Concentration Risk in Credit Portfolios

    • Martin Hibbeln
    Pages 73-182

  6. Model-Based Measurement of Sector Concentration Risk in Credit Portfolios

    • Martin Hibbeln
    Pages 183-236

  7. Conclusion

    • Martin Hibbeln
    Pages 237-240

  8. Back Matter

    Pages 241-247
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Keywords

About this book

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.

Authors and Affiliations

  • , Institut für Finanzwirtschaft, Carl-Frie, Technische Universität Carolo-Wilhelmina, Braunschweig, Germany

    Martin Hibbeln

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