Risk management in credit portfolios: concentration risk and Basel II
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Heidelberg [u.a.]
Physica-Verl.
2010
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| Series: | Contributions to Economics
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XX, 247 S. graph. Darst. |
| ISBN: | 9783790828269 9783790826067 9783790826074 |
Staff View
MARC
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Record in the Search Index
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| adam_text |
CONTENTS 1 INTRODUCTION 1 1.1 PROBLEM DEFINITION AND OBJECTIVES OF THIS
WORK 1 1.2 COURSE OF INVESTIGATION 2 2 CREDIT RISK MEASUREMENT IN THE
CONTEXT OF BASEL II 5 2.1 BANKING SUPERVISION AND BASEL II 5 2.2
MEASURES OF RISK IN CREDIT PORTFOLIOS 8 2.2.1 RISK PARAMETERS AND
EXPECTED LOSS 8 2.2.2 VALUE AT RISK, TAIL CONDITIONAL EXPECTATION, AND
EXPECTED SHORTFALL 11 2.2.3 COHERENCY OF RISK MEASURES 16 2.2.4
ESTIMATION AND STATISTICAL ERRORS OF VAR AND ES 22 2.3 THE UNCONDITIONAL
PROBABILITY OF DEFAULT WITHIN THE ASSET VALUE MODEL OF MERTON 25 2.4 THE
CONDITIONAL PROBABILITY OF DEFAULT WITHIN THE ONE-FACTOR MODEL OF
VASICEK 28 2.5 MEASURING CREDIT RISK IN HOMOGENEOUS PORTFOLIOS WITH THE
VASICEK MODEL 31 2.6 MEASURING CREDIT RISK IN HETEROGENEOUS PORTFOLIOS
WITH THE ASRF MODEL OF GORDY 35 2.7 MEASURING CREDIT RISK WITHIN THE IRB
APPROACH OF BASEL II 39 2.8 APPENDIX 43 3 CONCENTRATION RISK IN CREDIT
PORTFOLIOS AND ITS TREATMENT UNDER BASEL II 57 3.1 TYPES OF
CONCENTRATION RISK 57 3.2 INCURRENCE AND RELEVANCE OF CONCENTRATION RISK
59 3.3 MEASUREMENT AND MANAGEMENT OF CONCENTRATION RISK 62
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1007375108 DIGITALISIERT
DURCH X CONTENTS 3.4 HEURISTIC APPROACHES FOR THE MEASUREMENT OF
CONCENTRATION RISK 67 3.5 REVIEW OF THE LITERATURE ON MODEL-BASED
APPROACHES OF CONCENTRATION RISK MEASUREMENT 70 4 MODEL-BASED
MEASUREMENT OF NAME CONCENTRATION RISK IN CREDIT PORTFOLIOS 73 4. 1
FUNDAMENTALS AND RESEARCH QUESTIONS ON NAME CONCENTRATION RISK 73 4.2
MEASUREMENT OF NAME CONCENTRATION USING THE RISK MEASURE VALUE AT RISK
75 4.2.1 CONSIDERING NAME CONCENTRATION WITH THE GRANULARITY ADJUSTMENT
75 4.2.2 NUMERICAL ANALYSIS OF THE VAR-BASED GRANULARITY ADJUSTMENT 87
4.3 MEASUREMENT OF NAME CONCENTRATION USING THE RISK MEASURE EXPECTED
SHORTFALL 103 4.3.1 ADJUSTING FOR COHERENCY BY PARAMETERIZATION OF THE
CONFIDENCE LEVEL 103 4.3.2 CONSIDERING NAME CONCENTRATION WITH THE
GRANULARITY ADJUSTMENT 108 4.3.3 MOMENT MATCHING PROCEDURE FOR
STOCHASTIC LGDS 114 4.3.4 NUMERICAL ANALYSIS OF THE ES-BASED GRANULARITY
ADJUSTMENT 121 4.4 INTERIM RESULT 134 4.5 APPENDIX 136 5 MODEL-BASED
MEASUREMENT OF SECTOR CONCENTRATION RISK IN CREDIT PORTFOLIOS 183 5.1
FUNDAMENTALS AND RESEARCH QUESTIONS ON SECTOR CONCENTRATION RISK 183 5.2
INCORPORATION OF SECTOR CONCENTRATIONS USING MULTI-FACTOR MODELS 185
5.2.1 STRUCTURE OF MULTI-FACTOR MODELS AND BASEL II-CONSISTENT
PARAMETERIZATIO CONTENTS XI 5.3 PERFORMANCE OF MULTI-FACTOR MODELS 212
5.3.1 ANALYSIS FOR DETERMINISTIC PORTFOLIOS 212 5.3.2 SIMULATION STUDY
FOR HOMOGENEOUS AND HETEROGENEOUS PORTFOLIOS 215 5.4 INTERIM RESULT 219
5.5 APPENDIX 220 6 CONCLUSION 237 REFERENCES 241 |
| any_adam_object | 1 |
| author | Hibbeln, Martin |
| author_GND | (DE-588)1020732148 |
| author_facet | Hibbeln, Martin |
| author_role | aut |
| author_sort | Hibbeln, Martin |
| author_variant | m h mh |
| building | Verbundindex |
| bvnumber | BV036655818 |
| classification_rvk | QK 320 |
| ctrlnum | (OCoLC)724808399 (DE-599)BVBBV036655818 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| illustrated | Illustrated |
| indexdate | 2024-07-20T07:40:14Z |
| institution | BVB |
| isbn | 9783790828269 9783790826067 9783790826074 |
| language | English |
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| physical | XX, 247 S. graph. Darst. |
| publishDate | 2010 |
| publishDateSearch | 2010 |
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| publisher | Physica-Verl. |
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| series2 | Contributions to Economics |
| spelling | Hibbeln, Martin Verfasser (DE-588)1020732148 aut Risk management in credit portfolios concentration risk and Basel II Martin Hibbeln Heidelberg [u.a.] Physica-Verl. 2010 XX, 247 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to Economics Zugl.: Braunschweig, Techn. Univ., Diss., 2010 Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd rswk-swf Kredit (DE-588)4032923-9 gnd rswk-swf Bank (DE-588)4004436-1 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Ausfallrisiko (DE-588)4205942-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Bank (DE-588)4004436-1 s Kredit (DE-588)4032923-9 s Ausfallrisiko (DE-588)4205942-2 s Portfolio Selection (DE-588)4046834-3 s Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 u DE-604 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020575234&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hibbeln, Martin Risk management in credit portfolios concentration risk and Basel II Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Kredit (DE-588)4032923-9 gnd Bank (DE-588)4004436-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| subject_GND | (DE-588)4679731-2 (DE-588)4032923-9 (DE-588)4004436-1 (DE-588)4046834-3 (DE-588)4205942-2 (DE-588)4113937-9 |
| title | Risk management in credit portfolios concentration risk and Basel II |
| title_auth | Risk management in credit portfolios concentration risk and Basel II |
| title_exact_search | Risk management in credit portfolios concentration risk and Basel II |
| title_full | Risk management in credit portfolios concentration risk and Basel II Martin Hibbeln |
| title_fullStr | Risk management in credit portfolios concentration risk and Basel II Martin Hibbeln |
| title_full_unstemmed | Risk management in credit portfolios concentration risk and Basel II Martin Hibbeln |
| title_short | Risk management in credit portfolios |
| title_sort | risk management in credit portfolios concentration risk and basel ii |
| title_sub | concentration risk and Basel II |
| topic | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung (DE-588)4679731-2 gnd Kredit (DE-588)4032923-9 gnd Bank (DE-588)4004436-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Ausfallrisiko (DE-588)4205942-2 gnd |
| topic_facet | Basel Committee on Banking Supervision Basler Eigenkapitalvereinbarung Kredit Bank Portfolio Selection Ausfallrisiko Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020575234&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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