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A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios

  • Klaus Düllmann

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  • Nancy Masschelein

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10693-007-0014-3
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    Article provided by Springer in its journal Journal of Financial Services Research.

    Volume (Year): 32 (2007)
    Issue (Month): 1 (October)
    Pages: 55-79

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    Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:55-79
    Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=102934

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    1. Krüger, Ulrich & Stötzel, Martin & Trück, Stefan, 2005. "Time series properties of a rating system based on financial ratios," Discussion Paper Series 2: Banking and Financial Studies 2005,14, Deutsche Bundesbank, Research Centre.
    2. Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
    3. Dietsch, Michel & Petey, Joel, 2002. "The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 303-322, March.
    4. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique.
    5. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series 1531, CESifo Group Munich.
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