000 02873nam a22005175i 4500
001 978-3-7908-2607-4
003 DE-He213
005 20140220084553.0
007 cr nn 008mamaa
008 101013s2010 gw | s |||| 0|eng d
020 _a9783790826074
_9978-3-7908-2607-4
024 7 _a10.1007/978-3-7908-2607-4
_2doi
050 4 _aHG1-9999
050 4 _aHG4501-6051
050 4 _aHG1501-HG3550
072 7 _aKFF
_2bicssc
072 7 _aKFFK
_2bicssc
072 7 _aBUS027000
_2bisacsh
072 7 _aBUS004000
_2bisacsh
082 0 4 _a657.8333
_223
082 0 4 _a658.152
_223
100 1 _aHibbeln, Martin.
_eauthor.
245 1 0 _aRisk Management in Credit Portfolios
_h[electronic resource] :
_bConcentration Risk and Basel II /
_cby Martin Hibbeln.
264 1 _aHeidelberg :
_bPhysica-Verlag HD :
_bImprint: Physica,
_c2010.
300 _aXX, 248 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aContributions to Economics,
_x1431-1933
505 0 _aCredit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion.
520 _aRisk concentrations play a crucial role for the survival of individual banks and for the stability of the whole banking system. Thus, it is important from an economical and a regulatory perspective to properly measure and manage these concentrations. In this book, the impact of credit concentrations on portfolio risk is analyzed for different portfolio types and it is determined, in which cases the influence of concentration risk has to be taken into account. Furthermore, some models for the measurement of concentration risk are modified to be consistent with Basel II and their performance is compared. Beyond that, this book integrates economical and regulatory aspects of concentration risk and seeks to provide a systematic way to get familiar with the topic of concentration risk from the basics of credit risk modeling to present research in the measurement and management of credit risk concentrations.
650 0 _aEconomics.
650 0 _aFinance.
650 1 4 _aEconomics/Management Science.
650 2 4 _aFinance/Investment/Banking.
650 2 4 _aFinancial Economics.
650 2 4 _aQuantitative Finance.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783790826067
830 0 _aContributions to Economics,
_x1431-1933
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-7908-2607-4
912 _aZDB-2-SBE
999 _c113015
_d113015