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Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/55249
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| Title: | | Measuring concentration risk for regulatory purposes  |
| Authors: | | Gürtler, Marc Hibbeln, Martin Vöhringer, Clemens |
| Issue Date: | | 2007 |
| Series/Report no.: | | Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF26V4 |
| Abstract: | | The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent with the Pillar 1 capital requirements. Therefore, we adjust these models to achieve Basel II-compliant results. Within a simulation study we test the impact of sector concentrations on several portfolios and contrast the accuracy of the different models. In this context, we also compare Value at Risk and Expected Shortfall regarding their suitability to assess concentration risk. |
| Subjects: | | Concentration Risk Pillar 2 Multi-Factor Models Economic Capital Simulation Study Value at Risk Expected Shortfall |
| JEL: | | G21 G28 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig
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