أعرض تسجيلة المادة بشكل مبسط

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


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أعرض تسجيلة المادة بشكل مبسط