Sector concentration risk: a model for estimating capital requirements

DOI10.1016/J.MCM.2010.11.086zbMATH Open1235.91168OpenAlexW1995439153MaRDI QIDQ409790FDOQ409790

Authors: J. David Cabedo Semper, Jose Miguel Tirado Beltrán 

Publication date: 15 April 2012

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.11.086

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zbMATH Keywords

credit riskcapital requirementsconcentration riskconcentration index

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION
• How to measure single-name credit risk concentrations

Cited In (5)

• Capital requirements, acceptable risks and profits
• Risk management in credit portfolios. Concentration risk and Basel II.
• How to measure single-name credit risk concentrations
• A Quality Index for Evaluating the Bank Capital Adequacy According to Basel I and II
• Title not available (Why is that?)

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