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Measuring Concentration Risk in Bank Credit Portfolios Using Granularity Adjustment: Practical Aspects
Year Of Publication: 2010
Month Of Publication: January
Pages: 21
Download Count: 13
View Count: 4281
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 7-31-2010
Publisher: Administrator
Summary
The paper analyses the practical aspects of granularity adjustment for quantification of the contribution
of name concentrations to portfolio risk: proposals are made for the unique choice of systemic risk
variance; aggregation of credit risk parameters from exposure to counterparty level is analysed;
granularity adjustment capital allocation to individual counterparts is being discussed, proposing to
include single name granularity adjustment capital into performance measures and risk based pricing
tools; Monte Carlo approach for estimating single name concentration risk capital is being introduced.
Practical aspects of granularity adjustment estimation are illustrated by empirical calculations using
real bank portfolio data and the comparison with Gordy and Lütkebohmert results is presented
Author(s)
Juodis, Mindaugas Sign in to follow this author
Valvonis, Vytautas Sign in to follow this author
Berniunas, Raimondas Sign in to follow this author
Beivydas, Marijus Sign in to follow this author
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