Risk management in credit portfolios. Concentration risk and Basel II. (Q986609)

This book is a doctoral thesis, and as such it is a good piece of work. In Chapter 2 the author discusses credit risk measurement in the context of Basel II, and in Chapter 3 he continues with the discussion of concentration risk in credit portfolios and its treatment under Basel II. Chapter 4, ``Model-Based Measurement of Name Concentration Risk in Credit Portfolios'' forms the core of this book. Chapter 5 is about model-based measurement of sector concentration risk in credit portfolios. The book ends with a conclusion and a list of references. An index is missing. The book is a discussion of existing models and theories in the field, and adds to it by application to real-life situations. In places the book is far from clear: as an example I refer to the proof of the first proposition in 2.8.9 -- already the beginning is opaque. The situation is even worse at page 76 where the author looks for a Taylor expansion -- Formula (4.1) is totally unclear. Besides that, the price of this book is way too high.