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| DC Field | Value | Language |
|---|---|---|
| dc.creator | Düllmann, Klaus | - |
| dc.date | 2005 | - |
| dc.date.accessioned | 2013-10-16T07:06:41Z | - |
| dc.date.available | 2013-10-16T07:06:41Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19751 | - |
| dc.identifier | ppn:512740860 | - |
| dc.identifier | RePEc:zbw:bubdp2:4359 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19751 | - |
| dc.description | Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of concentration risk on the VaR. I apply rather parsimonious data requirements, which are comparable to those for Moody's Binomial Expansion Technique (BET) and considerably lower than for a multi-factor model. The infection model extends the BET model by introducing default infection into the hypothetical portfolio on which the real portfolio is mapped in order to obtain a simple solution for the VaR. The infection probability is calibrated for a range of typical values of input parameters, which capture the concentration of a portfolio in industry sectors, default dependencies between exposures and their credit quality. The accuracy of the new model is measured for test portfolios with a realistic industry-sector composition, obtained from the German central credit register. I find that a carefully calibrated infection model provides a reasonably close approximation to the VaR obtained from a multi-factor model and outperforms by far the BET model. The simulation results suggest that the calibrated infection model promises to provide a fit-for-purpose tool to measure concentration risk in business sectors that could be useful for risk managers and banking supervisors alike. | - |
| dc.language | eng | - |
| dc.relation | Discussion Paper, Series 2: Banking and Financial Supervision 2006,03 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | C20 | - |
| dc.subject | C15 | - |
| dc.subject | G21 | - |
| dc.subject | ddc:330 | - |
| dc.subject | asset correlation | - |
| dc.subject | concentration risk | - |
| dc.subject | credit risk | - |
| dc.subject | multi-factor model | - |
| dc.subject | value-at-risk | - |
| dc.subject | Kreditrisiko | - |
| dc.subject | Wirtschaftskonzentration | - |
| dc.subject | Value at Risk | - |
| dc.subject | Kreditwürdigkeit | - |
| dc.subject | Spillover-Effekt | - |
| dc.subject | Schätzung | - |
| dc.subject | Theorie | - |
| dc.subject | Deutschland | - |
| dc.subject | Kreditkonzentration | - |
| dc.title | Measuring business sector concentration by an infection model | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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