Risk Management in Credit Portfolios: Concentration Risk and Basel II: 0 (Contributions to Economics) - Image 1

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Physica-Verlag Risk Management in Credit Portfolios: Concentration Risk and Basel II: 0 (Contributions to Economics)

Name: Risk Management in Credit Portfolios: Concentration Risk and Basel II: 0 (Contributions to Economics)
Brand: Physica-Verlag
Price: 76.4 GBP
Availability: InStock

Applied Mathematics

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Description

Risk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.

Product Specifications

Brand: Physica-Verlag
Format: hardcover
ASIN: 3790826065
Category: Books > Subjects > Science, Nature & Maths > Mathematics > Applied Mathematics
Domain: Amazon UK
Release Date: 18 September 2010
Listed Since: 24 May 2010

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Physica-Verlag Risk Management in Credit Portfolios: Concentration Risk and Basel II: 0 (Contributions to Economics)

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