Advanced Search
MyIDEAS: Login

Single-name concentration risk in credit portfolios: a comparison of concentration indices

Contents:

Author Info

  • Raffaella Calabrese

    (University College Dublin)

  • Francesco Porro

    (Universit`a degli Studi di Milano-Bicocca)

Abstract

For assessing the effect of undiversified idiosyncratic risk, Basel II has established that banks should measure and control their credit concentration risk. Concentration risk in credit portfolios comes into being through an uneven distribution of bank loans to individual borrowers (single-name concentration) or through an unbalanced allocation of loans in productive sectors and geographical regions (sectoral concentration). To evaluate single-name concentration risk in the literature concentration indices proposed in welfare (Gini Index) and monopoly theory (Herfindahl- Hirschman index, Theil entropy index, Hannah-Kay index, Hall-Tidemann index) have been used. In this paper such concentration indices are compared by using as benchmark six properties that ensure a consistent measurement of single-name concentration. Finally, the indices are compared on some portfolios of loans.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.ucd.ie/geary/static/publications/workingpapers/gearywp201214.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Geary Institute, University College Dublin in its series Working Papers with number 201214.

as in new window
Length: 15 pages
Date of creation: 22 May 2012
Date of revision:
Handle: RePEc:ucd:wpaper:201214

Contact details of provider:
Postal: Arts Annexe, Belfield, Dublin 4
Phone: +353 1 7164615
Fax: +353 1 7161108
Email:
Web page: http://www.ucd.ie/geary/
More information through EDIRC

Related research

Keywords: credit concentration risk; bank loans; single-name concentration;

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Gordy, Michael B., 2003. "A risk-factor model foundation for ratings-based bank capital rules," Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
  2. Encaoua, David & Jacquemin, Alexis, 1980. "Degree of Monopoly, Indices of Concentration and Threat of Entry," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 87-105, February.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:201214. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Geary Tech).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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