Concentration Risk in Credit Portfolios

• Main Author: Lütkebohmert, Eva (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: EAA Lecture Notes,
• Subjects: Mathematics.; Economics, Mathematical.; Quantitative Finance.

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 a...

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.