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Studies on Credit Risk Concentration
Company: Basel Committee on Banking Supervision
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: November
Pages: 36
Download Count: 502
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 1-16-2007
Publisher: Administrator
Summary
The Concentration Risk Group of the Research Task Force of the Basel Committee on Banking Supervision undertook a principally analytical project with the following objectives: (i) to provide an overview of the issues and current practice in a sample of the more advanced banks as well as highlight the main policy issues that arise in this context; (ii) to assess the extent to which “real world” deviations from the “stylised world” behind the ASRF assumptions can result in important deviations of economic capital from Pillar 1 capital charges in the IRB approach of the Basel II Framework; and (iii) to examine and further develop fit-for-purpose tools that can be used in the quantification of concentration r
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