| 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 |
|