Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55249
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dc.contributor.authorGürtler, Marcen_US
dc.contributor.authorHibbeln, Martinen_US
dc.contributor.authorVöhringer, Clemensen_US
dc.date.accessioned2012-02-08en_US
dc.date.accessioned2012-02-10T15:38:59Z-
dc.date.available2012-02-10T15:38:59Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/55249-
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.language.isogeren_US
dc.publisher|aInstitut für Finanzwirtschaft, Technische Universität Braunschweig |cBraunschweigen_US
dc.relation.ispartofseries|aWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig |xIF26V4en_US
dc.subject.jelG21en_US
dc.subject.jelG28en_US
dc.subject.ddc330en_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
dc.identifier.ppn684921103en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:IF26V4-

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