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dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHibbeln, Martinen_US
dc.contributor.authorVöhringer, Clemensen_US
dc.description.abstractThe 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.en_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig IF26V4en_US
dc.subject.keywordConcentration Risken_US
dc.subject.keywordPillar 2en_US
dc.subject.keywordMulti-Factor Modelsen_US
dc.subject.keywordEconomic Capitalen_US
dc.subject.keywordSimulation Studyen_US
dc.subject.keywordValue at Risken_US
dc.subject.keywordExpected Shortfallen_US
dc.titleMeasuring concentration risk for regulatory purposesen_US
dc.typeWorking Paperen_US
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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