Single-Name Concentration Risk Measurements in Credit Portfolios

DOI10.1007/978-3-319-02499-8_8zbMath1418.91564OpenAlexW2141626042MaRDI QIDQ4561902

Francesco Porro, Raffaella Calabrese

Publication date: 13 December 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02499-8_8

zbMATH Keywords

idiosyncratic riskcredit portfolioelasticity parameterlarge exposuretotal exposure

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Concentration Risk in Credit Portfolios
• Degree of Monopoly, Indices of Concentration and Threat of Entry

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