Name concentration correction

Credit Risk

Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive correction on the perfectly granular portfolio framework

The Pillar I capital charge for credit risk (see Basel Committee on Banking Supervision, 2006a) is based on the asymptotic single-risk factor (ASRF) model (see Basel Committee on Banking

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