Semi-analytical implementation for the name concentration measurement in a credit portfolio

Basel II is the second of the Basel Accords, which are recommendations on banking regulations issued by the Basel Committee on Banking Supervision. We concentrate in credit risk, which is the most important risk a bank has to deal with. Basel II is structured in a three pillar framework. The Pillar...

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Detalles Bibliográficos
Autor: Álvarez Jordán, Sandra
Tipo de recurso: tesis de maestría
Fecha de publicación:2011
País:España
Institución:Universitat Politècnica de Catalunya (UPC)
Repositorio:UPCommons. Portal del coneixement obert de la UPC
Idioma:inglés
OAI Identifier:oai:upcommons.upc.edu:2099.1/15435
Acceso en línea:https://hdl.handle.net/2099.1/15435
Access Level:acceso abierto
Palabra clave:Mathematical economics
Credit Risk
Name Concentration, Vasicek
Vasicek
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
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spelling Semi-analytical implementation for the name concentration measurement in a credit portfolioÁlvarez Jordán, SandraMathematical economicsCredit RiskName Concentration, VasicekVasicekMatemàtica financeraClassificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economicsÀrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financeraBasel II is the second of the Basel Accords, which are recommendations on banking regulations issued by the Basel Committee on Banking Supervision. We concentrate in credit risk, which is the most important risk a bank has to deal with. Basel II is structured in a three pillar framework. The Pillar one capital charge for credit risk is based on the Asymptotic Single-Risk Factor model. One of its important assumptions is that a portfolio is well diversified, this is, there is no name concentration among obligors in the credit portfolio. In the real world, however, this main assumption is violated and then the measured risk can be underestimated. Monte Carlo method is a standard method for measuring credit portfolio risk in order to deal with exposure concentration. However, this method is known to be very time consuming making the approximation impractical in many situations, over all when the size of the portfolio increases. For this main reason, any analytical method is welcome. This project focuses on the study and implementation of a semi-analytical technique to measure the name concentration of a credit portfolio.. The capital charge for credit risk is based on the asymptotic single-risk factor model. One of its important assumptions is that a portfolio is well diversified. However, this main assumption is violated frequently and then the risk measured can be underestimated. Monte Carlo (MC) method is a standard method for measuring credit portfolio risk in order to deal with exposure concentration but it is computationally intensive. In this project, we study a semi-analytical technique to be used instead of MC.Universitat Politècnica de CatalunyaOrtiz Gracia, Luís20112011-11-0120122012-06-26master thesishttp://purl.org/coar/resource_type/c_bdccNAhttp://purl.org/coar/version/c_be7fb7dd8ff6fe43info:eu-repo/semantics/masterThesisapplication/pdfhttps://hdl.handle.net/2099.1/15435reponame:UPCommons. Portal del coneixement obert de la UPCinstname:Universitat Politècnica de Catalunya (UPC)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Attribution-NonCommercial-NoDerivs 3.0 Spainhttp://creativecommons.org/licenses/by-nc-nd/3.0/es/info:eu-repo/semantics/openAccessoai:upcommons.upc.edu:2099.1/154352026-05-27T15:37:01Z
dc.title.none.fl_str_mv Semi-analytical implementation for the name concentration measurement in a credit portfolio
title Semi-analytical implementation for the name concentration measurement in a credit portfolio
spellingShingle Semi-analytical implementation for the name concentration measurement in a credit portfolio
Álvarez Jordán, Sandra
Mathematical economics
Credit Risk
Name Concentration, Vasicek
Vasicek
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
title_short Semi-analytical implementation for the name concentration measurement in a credit portfolio
title_full Semi-analytical implementation for the name concentration measurement in a credit portfolio
title_fullStr Semi-analytical implementation for the name concentration measurement in a credit portfolio
title_full_unstemmed Semi-analytical implementation for the name concentration measurement in a credit portfolio
title_sort Semi-analytical implementation for the name concentration measurement in a credit portfolio
dc.creator.none.fl_str_mv Álvarez Jordán, Sandra
author Álvarez Jordán, Sandra
author_facet Álvarez Jordán, Sandra
author_role author
dc.contributor.none.fl_str_mv Ortiz Gracia, Luís
dc.subject.none.fl_str_mv Mathematical economics
Credit Risk
Name Concentration, Vasicek
Vasicek
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
topic Mathematical economics
Credit Risk
Name Concentration, Vasicek
Vasicek
Matemàtica financera
Classificació AMS::91 Game theory, economics, social and behavioral sciences::91B Mathematical economics
Àrees temàtiques de la UPC::Matemàtiques i estadística::Matemàtica financera
description Basel II is the second of the Basel Accords, which are recommendations on banking regulations issued by the Basel Committee on Banking Supervision. We concentrate in credit risk, which is the most important risk a bank has to deal with. Basel II is structured in a three pillar framework. The Pillar one capital charge for credit risk is based on the Asymptotic Single-Risk Factor model. One of its important assumptions is that a portfolio is well diversified, this is, there is no name concentration among obligors in the credit portfolio. In the real world, however, this main assumption is violated and then the measured risk can be underestimated. Monte Carlo method is a standard method for measuring credit portfolio risk in order to deal with exposure concentration. However, this method is known to be very time consuming making the approximation impractical in many situations, over all when the size of the portfolio increases. For this main reason, any analytical method is welcome. This project focuses on the study and implementation of a semi-analytical technique to measure the name concentration of a credit portfolio.. The capital charge for credit risk is based on the asymptotic single-risk factor model. One of its important assumptions is that a portfolio is well diversified. However, this main assumption is violated frequently and then the risk measured can be underestimated. Monte Carlo (MC) method is a standard method for measuring credit portfolio risk in order to deal with exposure concentration but it is computationally intensive. In this project, we study a semi-analytical technique to be used instead of MC.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-11-01
2012
2012-06-26
dc.type.none.fl_str_mv master thesis
http://purl.org/coar/resource_type/c_bdcc
NA
http://purl.org/coar/version/c_be7fb7dd8ff6fe43
dc.type.openaire.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
dc.identifier.none.fl_str_mv https://hdl.handle.net/2099.1/15435
url https://hdl.handle.net/2099.1/15435
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivs 3.0 Spain
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Attribution-NonCommercial-NoDerivs 3.0 Spain
http://creativecommons.org/licenses/by-nc-nd/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universitat Politècnica de Catalunya
publisher.none.fl_str_mv Universitat Politècnica de Catalunya
dc.source.none.fl_str_mv reponame:UPCommons. Portal del coneixement obert de la UPC
instname:Universitat Politècnica de Catalunya (UPC)
instname_str Universitat Politècnica de Catalunya (UPC)
reponame_str UPCommons. Portal del coneixement obert de la UPC
collection UPCommons. Portal del coneixement obert de la UPC
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15,300719

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