A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios
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More about this item
KeywordsCredit concentration; sector concentration risk; economic capital; G18; G21; C1;
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
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