Risk Management in Credit Portfolios

Focusing on the significance of risk concentrations, this book examines their impact on both individual banks and the overall banking system's stability. It analyzes how credit concentrations affect portfolio risk across various types of portfolios and identifies when concentration risk must be considered. The author modifies existing models to align with Basel II standards and compares their effectiveness. Additionally, the book integrates economic and regulatory perspectives, offering a comprehensive overview of credit risk modeling and current research in managing concentration risk.