Analyzing Concentration Risk
نویسنده
چکیده
Concentration risks, particularly concentrations in credit risk, have played a key role in the financial instability of the banking sector in 2008. This paper examines different objectives in managing credit concentration risk. The suitability of different measures and presentation techniques is discussed and illustrated in the context of a case study. We also look deeper into “measures”, examining the contributions and interactions of migration, name and sector concentration risk on the portfolio. 1 Diane Reynolds is Senior Director, Product Management at Algorithmics Inc. She may be reached at [email protected]. 2 Many thanks to Patrick Tobin, Financial Engineering student at Algorithmics for his work on the case study and preliminary (internal) white papers (August 2008) upon which this work relies heavily. Replicating Portfolios in Algo Risk Re Analyzing Concentration Risk
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