Single-name concentration risk in credit portfolios: a comparison of concentration indices
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Encaoua, David & Jacquemin, Alexis, 1980. "Degree of Monopoly, Indices of Concentration and Threat of Entry," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 87-105, February.
- Leslie Hannah & J. A. Kay, 1977. "Concentration in Modern Industry," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-349-02773-6.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jan Kluge, 2018.
"Sectoral diversification as insurance against economic instability,"
Journal of Regional Science, Wiley Blackwell, vol. 58(1), pages 204-223, January.
- Jan Kluge, 2015. "Sectoral Diversification as Insurance against Economic Instability," ifo Working Paper Series 206, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Oscar Bajo & Rafael Salas, 2002.
"Inequality foundations of concentration measures: An application to the Hannah-Kay indices,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 4(4), pages 311-316.
- Oscar Bajo & Rafael Salas, 1999. "Inequality Foundations of Concentration Measures: An Application to the Hannah-Kay Indices," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 9901, Departamento de Economía - Universidad Pública de Navarra.
- Bajo, Oscar & Salas, Rafael, 1999. "Inequality foundations of concentration measures: an application to the hannah-kay indices," UC3M Working papers. Economics 6137, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Tarald O. Kvålseth, 2022. "Cautionary Note About the Herfindahl-Hirschman Index of Market (Industry) Concentration," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 16(1), March.
- Bukvić, Rajko, 2022. "Concentration in Serbian Insurance Sector: 2011–2020 Changes and Their Decomposition," MPRA Paper 113386, University Library of Munich, Germany, revised 2022.
- Domínguez Jurado, José Miguel & Triguero-Ruiz, Francisco & Avila-Cano, Antonio, 2021. "Firm growth in the 21st century: Does the Andalusian economy comply with Gibrat’s Law?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 577(C).
- d'Aspremont, Claude & Jacquemin, Alexis, 1985.
"Measuring the power to monopolize : A simple-game-theoretic approach,"
European Economic Review, Elsevier, vol. 27(1), pages 57-74, February.
- d'ASPREMONT, Claude & JACQUEMIN, Alexis, 1985. "Measuring the power to monopolize. A simple-game-theoretic approach," LIDAM Reprints CORE 626, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lourdes Treviño, 2005. "Development and volume growth of organized derivatives trade in emerging markets," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 31-82, November.
- Alexander M. Goulielmos & Giannis Sitzimis, 2012. "Measuring Market Concentration in the Aegean Ferry System," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 62(1-2), pages 7-27, January -.
- Bukvić, Rajko, 2022. "Koncentracija u sektoru osiguranja u Srbiji: promene u periodu 2011–2020. i njihova dekompozicija [Concentration in Serbian Insurance Sector: 2011–2020 Changes and Their Decomposition]," MPRA Paper 113347, University Library of Munich, Germany, revised 2022.
- Xin Huang & Hao Zhou & Haibin Zhu, 2012.
"Systemic Risk Contributions,"
Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43, Bank for International Settlements.
- Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
- Patrick Gagliardini & Christian Gouriéroux, 2011.
"Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 237-280, Spring.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
- Arturo Cortés Aguilar, 2011. "Estimación del residual de un bono respaldado por hipotecas mediante un modelo de riesgo crédito: una comparación de resultados de la teoría de cópulas y el modelo IRB de Basilea II en datos del merca," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 50-64.
- Mendicino, Caterina & Nikolov, Kalin & Ramirez, Juan-Rubio & Suarez, Javier & Supera, Dominik, 2020.
"Twin defaults and bank capital requirements,"
Working Paper Series
2414, European Central Bank.
- Suarez, Javier & Mendicino, Caterina & Nikolov, Kalin & Rubio-RamÃrez, Juan Francisco & Supera, Dominik, 2020. "Twin Defaults and Bank Capital Requirements," CEPR Discussion Papers 14427, C.E.P.R. Discussion Papers.
- Lionel Sopgoui, 2024. "Impact of Climate transition on Credit portfolio's loss with stochastic collateral," Papers 2408.13266, arXiv.org.
- Benny Geys & Bruno Heyndels, 2006.
"Disentangling The Effects Of Political Fragmentation On Voter Turnout: The Flemish Municipal Elections,"
Economics and Politics, Wiley Blackwell, vol. 18(3), pages 367-387, November.
- Geys, Benny & Heyndels, Bruno, 2006. "Disentangling the effects of political fragmentation on voter turnout: the Flemish municipal elections [Auswirkungen politischer Zersplitterung auf die Wahlbeteiligung: die flämischen Kommunalwahle," Discussion Papers, Research Unit: Market Processes and Governance SP II 2006-07, WZB Berlin Social Science Center.
- Paul Kupiec, 2007. "Financial stability and Basel II," Annals of Finance, Springer, vol. 3(1), pages 107-130, January.
- Regolo, Julie, 2013. "Export diversification: How much does the choice of the trading partner matter?," Journal of International Economics, Elsevier, vol. 91(2), pages 329-342.
- Robles Teigeiro, Luis & Ramos Carvajal, Carmen, 2007. "Una propuesta metodológica para la identificación y evaluación de clusters a partir de tablas Input-Output. Una aplicación para Andalucía/A Methodological Proposal for Getting the Sectorial Clusters i," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 759-790, Diciembre.
- Abraham Nunes & Thomas Trappenberg & Martin Alda, 2020. "Measuring heterogeneity in normative models as the effective number of deviation patterns," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-16, November.
- Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014.
"Credit risk in general equilibrium,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
- Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2011. "Credit Risk in General Equilibrium," Working Papers 172, Oesterreichische Nationalbank (Austrian Central Bank).
- Eichberger, Jürgen & Rheinberger, Klaus & Summer, Martin, 2012. "Credit risk in general equilibrium," Working Paper Series 1445, European Central Bank.
- Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit Risk in General Equilibrium," CESifo Working Paper Series 4602, CESifo.
- Edward Nissan & George Carter, 2011. "The Largest Trans-nationals of Developing Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 71-83, March.
More about this item
Keywords
credit concentration risk; bank loans; single-name concentration;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2012-05-29 (Banking)
- NEP-RMG-2012-05-29 (Risk Management)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucd:wpaper:201214. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Geary Tech (email available below). General contact details of provider: https://edirc.repec.org/data/geucdie.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.