rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Concentration Risk in Credit Portfolios
  name:
    name part: Lütkebohmert, Eva.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2009
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XVIII, 226 p. 17 illus. online resource.
  abstract: Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective.
  table of contents: to Credit Risk Modeling -- Risk Measurement -- Modeling Credit Risk -- The Merton Model -- The Asymptotic Single Risk Factor Model -- Mixture Models -- The CreditRisk+ Model -- Concentration Risk in Credit Portfolios -- Ad-Hoc Measures of Concentration -- Name Concentration -- Sector Concentration -- Empirical Studies on Concentration Risk -- Default Contagion -- Empirical Studies on Default Contagion -- Models Based on Copulas -- A Voter Model for Credit Contagion -- Equilibrium Models.
  note: by Eva Lütkebohmert.
  subject:
    topic: Mathematics
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Mathematics
  subject:
    topic: Quantitative Finance
  classification: HB135-147
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: EAA Lecture Notes
  identifier: 9783540708704
  identifier: http://dx.doi.org/10.1007/978-3-540-70870-4
  record info:
    record creation date: 100301
    record change date: 20151123155848.0
    record identifier: 978-3-540-70870-4