Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55249
Authors: 
Gürtler, Marc
Hibbeln, Martin
Vöhringer, Clemens
Year of Publication: 
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

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