Concentration Risk in Credit Portfolios by Eva Lutkebohmert

Concentration Risk in Credit Portfolios by Eva Lutkebohmert

Modeling and management of credit risk are the main topics within banks and other lending institutions. Historical experience shows that, in particular, concentration of risk in credit portfolios has been one of the major causes of bank distress. Therefore, concentration risk is highly relevant to anyone who wants to go beyond the very basic portfolio credit risk models. Also

The book gives an introduction to credit risk modeling with the aim to measure concentration risks in credit portfolios. Taking the basic principles of credit risk in general as a starting point, several industry models are studied. These allow banks to compute a probability distribution of credit losses at the portfolio level. Besides these industry models the Internal Ratings Based model, on which Basel II is based, is treated. Also

On the basis of these models various methods for the quantification of name and sector concentration risk and the treatment of default contagion are discussed. The book reflects current research in these areas from both an academic and a supervisory perspective Also

About Arthor

Eva Lutkebohmert is Professor of Quantitative Finance at the University of Freiburg. She studied mathematics at the Universities of Bonn and Toronto and received her PhD in mathematics at the University of Bonn in 2004. She worked as a research analyst in the department for banking supervision at Deutsche Bundesbank from 2005 to 2006 and was member of the RTF subgroup on concentration risks of the BCBS. Also

From 2006 to 2009 she was assistant professor at the Faculty of Social Sciences and Economics at the University of Bonn. Afterwards she switched to the University of Freiburg as head of the research group “Financial Mathematics: Pricing of Risks in Incomplete Markets”. Since 2013 she has been Professor of Quantitative Finance at the University of Freiburg.  Also

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