In this article, I illustrate three approaches for calculating loss distributions and value-at-risk capital requirements in credit portfolios with obligor concentrations risk.

In this working paper, Paul Kupiec develops an algorithm to approximate the loss rate distribution for fixed income portfolios with obligor concentrations.

The authors demonstrate how regulation intended to control costs can exacerbate cost growth by subsidizing high-risk activities and firms at the expense of low-risk activities and firms.