Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank
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References listed on IDEAS
- Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 55-79, October.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
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- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
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More about this item
KeywordsPortfolio Credit Concentration Risk; Bank Capital;
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-19 (All new papers)
- NEP-BAN-2011-02-19 (Banking)
- NEP-CIS-2011-02-19 (Confederation of Independent States)
- NEP-RMG-2011-02-19 (Risk Management)
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