© 2009

Concentration Risk in Credit Portfolios


  • 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


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

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


Concentration Risk Financial Economics Modeling Credit Risk Risk Management modeling

Authors and affiliations

  1. 1.Inst. für Gesellschafts- und WirtschaftswissenschaftenUniversität BonnBonnGermany

Bibliographic information

  • Book Title Concentration Risk in Credit Portfolios
  • Authors Eva Lütkebohmert
  • Series Title EAA Lecture Notes
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics Mathematics and Statistics (R0)
  • Softcover ISBN 978-3-540-70869-8
  • eBook ISBN 978-3-540-70870-4
  • Series ISSN 1865-2174
  • Edition Number 1
  • Number of Pages XVIII, 226
  • Number of Illustrations 17 b/w illustrations, 0 illustrations in colour
  • Topics Quantitative Finance
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking


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)