Concentration Risk in Credit Portfolios is popular PDF and ePub book, written by Eva Lütkebohmert in 2008-09-30, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Concentration Risk in Credit Portfolios can be Read Online from any device for your convenience.
Concentration Risk in Credit Portfolios Book PDF Summary
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
Detail Book of Concentration Risk in Credit Portfolios PDF
- Author : Eva Lütkebohmert
- Release : 30 September 2008
- Publisher : Springer Science & Business Media
- ISBN : 9783540708704
- Genre : Mathematics
- Total Page : 226 pages
- Language : English
- PDF File Size : 21,6 Mb
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