Concentration risk and Basel Pillar II. Add-On or Portfolio Model? Some proposals

Michele Bonollo, Paola Mosconi and Marta Pegorin
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Michele Bonollo: Università di Padova
Paola Mosconi: Iason Ltd
Marta Pegorin: Ecomatica srl

BANCARIA, 2009, vol. 11, 27-47

Abstract: The Basel deadlines concerning the second pillar and the international crisis have emphasized the problem of a reliable measure of the credit concentration risk. Nevertheless, there is not yet a best practice and several approaches have been proposed. After a survey about the framework, the paper proposes a new analytical model, that embodies both the usual single name effect along with sector and contagion effects. We also discuss some implementation issues, related to the actual banks software procedures and data.

Keywords: credit VaR; rischio di concentrazione; secondo pilastro; Basilea 2 (search for similar items in EconPapers)
JEL-codes: C63 G11 G38 (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:11:y:2009:m:november:p:27-47

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