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Sector Concentration in Loan Portfolios and Economic Capital
Company: National Bank of Belgium
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: November
Pages: 49
Download Count: 9
View Count: 1833
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-11-2010
Publisher: Administrator
The purpose of this paper is to measure the potential impact of business-sector concentration on economic capital for loan portfolios and to explore a tractable model for its measurement. The empirical part evaluates the increase in economic capital in a multi-factor asset value model for portfolios with increasing sector concentration. The sector composition is based on credit information from the German central credit register. Finding that business sector concentration can substantially increase economic capital, the theoretical part of the paper explores whether this risk can be measured by a tractable model that avoids Monte Carlo simulations.
Duellmann, Klaus Sign in to follow this author
Masschelein, Nancy Sign in to follow this author
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