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Measuring Business Sector Concentration by an Infection Model
Company: Deutsche Bundesbank
Year Of Publication: 2006
Month Of Publication: May
Pages: 44
Download Count: 7
View Count: 1667
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 8-12-2010
Publisher: Administrator
Results from portfolio models for credit risk tell us that loan concentration
in certain industry sectors can substantially increase the value-at-risk (VaR).
The purpose of this paper is to analyze whether a tractable “infection model”
can provide a meaningful estimate of the impact of concentration risk on the
VaR. I apply rather parsimonious data requirements, which are comparable
to those for Moody’s Binomial Expansion Technique (BET) and considerably
lower than for a multi-factor mod
Duellmann, Klaus Sign in to follow this author
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