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Book Cover
E-book
Author Hibbeln, Martin.

Title Risk management in credit portfolios : concentration risk and Basel II / Martin Hibbeln
Published Heidelberg : Physica ; London : Springer [distributor], 2010

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Description 1 online resource
Series Contributions to economics, 1431-1933
Contributions to economics. 1431-1933
Contents Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion
Summary 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
Bibliography Includes bibliographical references
Notes English
Print version record
SUBJECT Basel II (2004 June 26) http://id.loc.gov/authorities/names/n2006009995
Basel II (2004 June 26) fast
Basler Eigenkapitalvereinbarung 2001 gnd
Basler Eigenkapitalvereinbarung <2001> swd
Subject Credit control -- Methodology
Portfolio management.
Credit ratings -- Mathematical models
Risk management.
Risk Management
risk management.
BUSINESS & ECONOMICS -- Finance.
Affaires.
Science économique.
Economie de l'entreprise.
Portfolio management
Risk management
Kredit
Ausfallrisiko
Portfolio Selection
Bank
Gestion du risque.
Gestion de portefeuille.
Cotes de solvabilité.
Form Electronic book
ISBN 9783790826074
3790826073
1283001977
9781283001977
9786613001979
661300197X
3790826065
9783790826067