Overview
- Important topic in credit risk modeling
- Important for both practitioner and researchers
- Much of the material covered has appears for the first time in book-form
- Includes supplementary material: sn.pub/extras
Part of the book series: EAA Series (EAAS)
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Table of contents (16 chapters)
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Introduction to Credit Risk Modeling
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Concentration Risk in Credit Portfolios
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Default Contagion
Keywords
About this book
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)
Authors and Affiliations
Bibliographic Information
Book Title: Concentration Risk in Credit Portfolios
Authors: Eva Lütkebohmert
Series Title: EAA Series
DOI: https://doi.org/10.1007/978-3-540-70870-4
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2009
Softcover ISBN: 978-3-540-70869-8Published: 21 October 2008
eBook ISBN: 978-3-540-70870-4Published: 30 September 2008
Series ISSN: 1869-6929
Series E-ISSN: 1869-6937
Edition Number: 1
Number of Pages: XVIII, 226
Number of Illustrations: 17 b/w illustrations
Topics: Quantitative Finance