Title :
Credit Portfolio Concentration Risk Measurement Models
Author_Institution :
Coll. of Bus. Adm., Binzhou Vocational Coll., Binzhou, China
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;
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
DOI :
10.1109/IHMSC.2012.50
