Risk Management in Credit Portfolios: Concentration Risk and Basel II
Author:   Martin Hibbeln
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2010 ed.
Volume:   0
ISBN:  

9783790826067


Pages:   248
Publication Date:   18 September 2010
Format:   Hardback
Availability:   In Print   Availability explained
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Risk Management in Credit Portfolios: Concentration Risk and Basel II


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Overview

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.

Full Product Details

Author:   Martin Hibbeln
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Physica-Verlag GmbH & Co
Edition:   2010 ed.
Volume:   0
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   1.220kg
ISBN:  

9783790826067


ISBN 10:   3790826065
Pages:   248
Publication Date:   18 September 2010
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

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