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Concentration risk and Basel Pillar II. Add-On or Portfolio Model? Some proposals

Author

Listed:
  • Michele Bonollo

    (Università di Padova)

  • Paola Mosconi

    (Iason Ltd)

  • Marta Pegorin

    (Ecomatica srl)

Abstract

The Basel deadlines concerning the second pillar and the international crisis have emphasized the problem of a reliable measure of the credit concentration risk. Nevertheless, there is not yet a best practice and several approaches have been proposed. After a survey about the framework, the paper proposes a new analytical model, that embodies both the usual single name effect along with sector and contagion effects. We also discuss some implementation issues, related to the actual banks software procedures and data.

Suggested Citation

  • Michele Bonollo & Paola Mosconi & Marta Pegorin, 2009. "Concentration risk and Basel Pillar II. Add-On or Portfolio Model? Some proposals," BANCARIA, Bancaria Editrice, vol. 11, pages 27-47, November.
    • Handle: RePEc:ban:bancar:v:11:y:2009:m:november:p:27-47
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    File URL: http://www.bancariaeditrice.it/prodotti/vedi/prodotto/id/1969/bancaria-n-11-2009
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    More about this item

    Keywords

    credit VaR; rischio di concentrazione; secondo pilastro; Basilea 2;
    All these keywords.

    JEL classification:

    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G38 - Financial Economics - - Corporate Finance and Governance - - - Government Policy and Regulation

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