Titlebook: Concentration Risk in Credit Portfolios; Eva Lütkebohmert Textbook 2009 Springer-Verlag Berlin Heidelberg 2009 Concentration Risk.Financia

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A Taxonomy of Cloud Endpoint Forensic Toolsconcentration risk has not been answered yet. The occurrence of sector concentration directly results in violating the assumptions of the analytical Merton-type model, which constitutes the core under Pillar I of the Basel II framework for quantifying credit risk. In order to ensure analytical tract

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Advances in Digital Forensics XIVging economies. They perform a principal component analysis (PCA) of the individual stock market index returns in developed and emerging economies to underpin the argument that there is rarely only a single risk factor which affects all obligors in the same way and to the same extent. [28] show that

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Leon Twenning,Harald Baier,Thomas Göbels firms. Dependencies between different obligors in a credit portfolio can arise from two sources. First, we have . resulting from dependencies of firms in a credit portfolio on some underlying macro-economic factors as for example the overall economic climate. As these risk factors change in time,

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Shenzhi Qin,Yubo Lang,Kam-Pui Chowontagion phenomena. As it is shown in recent articles, for example by [22] in their famous binary choice models, there is a close relation between socio-economics and statistical mechanics. This motivates the use of interacting particle systems also in finance. The approach stems from the belief tha

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Zachary Grimmett,Jason Staggs,Sujeet Shenoily affect a particular region can spread by contagion to the whole financial sector. One approach to model the propagation of contagion has been introduced in [6]. The authors concentrate on a single channel of financial contagion, namely the region-overlapping claims of an interbank deposit market,

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