Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/55249 
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dc.contributor.authorGürtler, Marcen
dc.contributor.authorHibbeln, Martinen
dc.contributor.authorVöhringer, Clemensen
dc.date.accessioned2012-02-08-
dc.date.accessioned2012-02-10T15:38:59Z-
dc.date.available2012-02-10T15:38:59Z-
dc.date.issued2007-
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
dc.language.isogeren
dc.publisher|aTechnische Universität Braunschweig, Institut für Finanzwirtschaft |cBraunschweigen
dc.relation.ispartofseries|aWorking Paper Series |xIF26V4en
dc.subject.jelG21en
dc.subject.jelG28en
dc.subject.ddc330en
dc.subject.keywordConcentration Risken
dc.subject.keywordPillar 2en
dc.subject.keywordMulti-Factor Modelsen
dc.subject.keywordEconomic Capitalen
dc.subject.keywordSimulation Studyen
dc.subject.keywordValue at Risken
dc.subject.keywordExpected Shortfallen
dc.titleMeasuring concentration risk for regulatory purposes-
dc.typeWorking Paperen
dc.identifier.ppn684921103en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:tbsifw:IF26V4en

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