My Library

University LibraryCatalogue

     
Limit search to items available for borrowing or consultation
Result Page: Previous Next
Can't find that book? Try BONUS+
 
Look for full text

Search Discovery

Search CARM Centre Catalogue

Search Trove

Add record to RefWorks

E-RESOURCE
Author Grippa, Pierpaolo.

Title Measuring Concentration Risk - A Partial Portfolio Approach. [electronic resource] / Pierpaolo Grippa.

Published Washington, D.C. : International Monetary Fund, 2016.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (32 p.)
Series IMF Working Papers
IMF Working Papers
Summary Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover concentration risk, and those calculated under the Internal Ratings Based (IRB) approach explicitly exclude it. Banks are expected to compensate for this by autonomously estimating and setting aside appropriate capital buffers, which supervisors are required to assess and possibly challenge within the Pillar 2 process. Inadequate reflection of this risk can lead to insufficient capital levels even when the capital ratios seem high. We propose a flexible technique, based on a combination of "full" credit portfolio modeling and asymptotic results, to calculate capital requirements for name and sector concentration risk in banks' portfolios. The proposed approach lends itself to be used in bilateral surveillance, as a potential area for technical assistance on banking supervision, and as a policy tool to gauge the degree of concentration risk in different banking systems.
Notes Description based on print version record.
Other author Grippa, Pierpaolo.
ISBN 1475523173 : 18.00 USD
9781475523171
ISSN 1018-5941
Standard Number 10.5089/9781475523171.001