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...

The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent...

The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent...

The measurement of concentration risk in credit portfolios is necessary for the determination of regulatory capital under Pillar 2 of Basel II as well as for managing portfolios and allocating economic capital. Existing multi-factor models that deal with concentration risk are often inconsistent...

The ongoing debate concerning credit concentration risk is mainly driven by the requirementson credit risk management due to Pillar 2 of Basel II since risks (e.g. concentration risk) that arenot fully captured by Pillar 1 should be adequately considered in the banks’ risk management....

Es wird dargelegt, dass das im Rahmen des Asset-Liability-Managements häufiggewählte Immunisierungsverfahren des Durationsmatch unter Verwendung der traditionellen Yieldbeta-Methode nur dann sachgerecht eingesetzt werden kann, wenn das betrachtete Unternehmenkeinen sicheren realen und damit...

Several attempts have been made to reduce the impact of estimation errors on the optimalportfolio composition. On the one hand, improved estimators of the necessary momentshave been developed and on the other hand, heuristic methods have been generated to enhancethe portfolio performance, for...