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Risk Management in Credit Portfolios

Concentration Risk and Basel II

  • Martin Hibbeln

Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages i-xx
  2. Martin Hibbeln
    Pages 1-4
  3. Martin Hibbeln
    Pages 237-240
  4. Back Matter
    Pages 241-247

About this book

Introduction

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.

Keywords

Banking Basel II Credit Risk Portfolio RM Risk Management Risk Measurement

Authors and affiliations

  • Martin Hibbeln
    • 1
  1. 1., Institut für Finanzwirtschaft, Carl-FrieTechnische Universität Carolo-WilhelminaBraunschweigGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-7908-2607-4
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Physica, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-7908-2606-7
  • Online ISBN 978-3-7908-2607-4
  • Series Print ISSN 1431-1933
  • Buy this book on publisher's site
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