Concentration measures in risk management

S Figini and P Uberti
Additional contact information
S Figini: University of Pavia, Pavia, Italy
P Uberti: University of Genova, Genova, Italy

Journal of the Operational Research Society, 2013, vol. 64, issue 5, 718-723

Abstract: Following the increasing use of external and internal credit ratings made by the Bank regulation, credit risk concentration has become one of the leading topics in modern finance. In order to measure separately single-name and sectoral concentration risk, the literature proposes specific concentration indexes and models, which we review in this paper. Following the guideline proposed by Basel 2 on risk integration, we believe that standard approaches could be improved by studying a new measure of risk that integrates single-name and sectoral credit risk concentration in a coherent way. The main objective of this paper is to propose a novel index useful to measure credit risk concentration integrating single-name and sectoral components. From a theoretical point of view, our measure of risk shows interesting mathematical properties; empirical evidences are given on the basis of a data set. Finally, we have compared the results achieved following our proposal with respect to the common procedures proposed in the literature.

Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.palgrave-journals.com/jors/journal/v64/n5/pdf/jors201236a.pdf Link to full text PDF (application/pdf)
http://www.palgrave-journals.com/jors/journal/v64/n5/full/jors201236a.html Link to full text HTML (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:jorsoc:v:64:y:2013:i:5:p:718-723

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/41274

Access Statistics for this article

Journal of the Operational Research Society is currently edited by Tom Archibald and Jonathan Crook

More articles in Journal of the Operational Research Society from Palgrave Macmillan, The OR Society
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().