Concentration Risk in Credit Portfolios

DOI10.1007/978-3-540-70870-4zbMath1153.91005OpenAlexW4212975853MaRDI QIDQ3528114

Eva Lütkebohmert

Publication date: 6 October 2008

Published in: EAA Lecture Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-70870-4

zbMATH Keywords

copulascredit riskconcentration riskdefault contagionMerton modelcountry concentrationname concentrationsingle factor models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10) Credit risk (91G40)

Related Items (6)

Single-Name Concentration Risk Measurements in Credit Portfolios ⋮ Granularity Adjustment for Efficient Portfolios ⋮ Model-free computation of risk contributions in credit portfolios ⋮ Credit risk in an economy with new firms arrivals ⋮ Metamodel of a Large Credit Risk Portfolio in the Gaussian Copula Model ⋮ Incorporating contagion in portfolio credit risk models using network theory

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