Gürtler, Marc; Hibbeln, Martin; Vöhringer, Clemens - Institut für Finanzwirtschaft <Braunschweig> - 2007
The measurement of concentration risk in credit portfolios is necessary for the determinationof regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economiccapital. Existing multi-factor models that deal with concentration risk are often inconsistent...