Sector concentration risk: A model for estimating capital requirements
- 1 October 2011
- journal article
- Published by Elsevier BV in Mathematical and Computer Modelling
- Vol. 54 (7-8), 1765-1772
- https://doi.org/10.1016/j.mcm.2010.11.086
Abstract
No abstract availableKeywords
This publication has 5 references indexed in Scilit:
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- A Tractable Model to Measure Sector Concentration Risk in Credit PortfoliosJournal of Financial Services Research, 2007
- Sector Concentration in Loan Portfolios and Economic CapitalSSRN Electronic Journal, 2006
- AN AXIOMATIC APPROACH TO CAPITAL ALLOCATIONMathematical Finance, 2005
- Factor Models: Portfolio Credit Risks When Defaults are CorrelatedThe Journal of Risk Finance, 2001