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Credit Risk Concentrations Under Stress
Year Of Publication: 2005
Month Of Publication: October
Pages: 19
Download Count: 996
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 5-3-2006
Publisher: Administrator
Summary
This article deals with methods for identifying as well as stressing risk concentrationsin credit portfolios, in particular concentrations caused by large exposures to a single sector or to several highly correlated sectors. We present a general and yet computationally efficient framework for implementing stress scenarios in a multifactorcredit portfolio model and illustrate the proposed methodology by stressing a large investment banking portfolio. Although the methodology is developed in a particular factor model, the main concept stressingsector concentration through a truncation of the distribution of the risk factors isindependent of the model specification. We introduce the concept of Factor Concentration that formalizes the proposed approach and analyze its mathematical properties.
Author(s)
Bonti, Gabriel Sign in to follow this author
Kalkbrener, Michael Sign in to follow this author
Lotz, Christopher Sign in to follow this author
Stahl, Gerhard Sign in to follow this author
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