IDEAS home Printed from https://ideas.repec.org/h/spr/conchp/978-3-7908-2607-4_5.html
   My bibliography  Save this book chapter

Model-Based Measurement of Sector Concentration Risk in Credit Portfolios

In: Risk Management in Credit Portfolios

Author

Listed:
  • Martin Hibbeln

    (Technische Universität Braunschweig)

Abstract

The focus of this chapter is on sector concentrations. This type of concentration risk can occur if there is more than one systematic risk factor that influences credit defaults. The main research questions that are analyzed in this chapter are: How can existing approaches for measuring sector concentration risk be modified and adjusted to be consistent with the Basel framework? Is the risk measure Value at Risk problematic when dealing with sector concentration risk? Which methods are capable of measuring concentration risk and how good do they perform in comparison? What are the advantages and disadvantages of these methods? In order to deal with these questions, it is initially determined how a multi-factor model can be parameterized to obtain a capital requirement which is consistent with Basel II. Furthermore, the models of Pykhtin (Risk 17(3):85–90, 2004), Cespedes et al. (J Credit Risk, 2(3):57–85, 2006), and Düllmann (Measuring business sector concentration by an infection model. Discussion Paper, Series 2: Banking and Financial Studies, Deutsche Bundesbank, (3), 2006), which have been developed to approximate the risk in the presence of sector concentrations, are presented and modified. Then, the accuracy of these models concerning their ability to measure sector concentration risk is compared.

Suggested Citation

  • Martin Hibbeln, 2010. "Model-Based Measurement of Sector Concentration Risk in Credit Portfolios," Contributions to Economics, in: Risk Management in Credit Portfolios, chapter 0, pages 183-236, Springer.
    • Handle: RePEc:spr:conchp:978-3-7908-2607-4_5
    DOI: 10.1007/978-3-7908-2607-4_5
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:conchp:978-3-7908-2607-4_5. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.