DocumentCode
571596
Title
Credit Portfolio Concentration Risk Measurement Models
Author
Wenting, Li
Author_Institution
Coll. of Bus. Adm., Binzhou Vocational Coll., Binzhou, China
Volume
1
fYear
2012
fDate
26-27 Aug. 2012
Firstpage
173
Lastpage
176
Abstract
After the subprime crisis, banks have paid intense attention to credit portfolio concentration, for risk reduction or controlling the difference between regulatory capital and economic capital. So this paper teases out three major credit portfolio concentration risk measurement models, and makes a detailed comparative and applicable analysis of them, in order to provide a theoretical reference for related researchers.
Keywords
banking; risk analysis; banks; credit portfolio concentration risk measurement models; economic capital; regulatory capital; risk reduction; subprime crisis; Biological system modeling; Correlation; Dispersion; Economics; Mathematical model; Portfolios; binomial expansion technique; concentration risk; dispersion factor; factor adjustmeent;
fLanguage
English
Publisher
ieee
Conference_Titel
Intelligent Human-Machine Systems and Cybernetics (IHMSC), 2012 4th International Conference on
Conference_Location
Nanchang, Jiangxi
Print_ISBN
978-1-4673-1902-7
Type
conf
DOI
10.1109/IHMSC.2012.50
Filename
6305654
Link To Document