The amount of capital a bank is required to hold in case of unexpected losses is governed by the Basel II Accord. The relevant computation of the risk weighted assets makes some 'assumptions' about the correlation between the asset values. The aim of this project is to explore methods of measuring the degree of concentration of risk in a credit portfolio. The project will consider ad hoc and model based measures and practical approaches to its empirical measurement.
Contact: Professor Jonathan Crook (email@example.com)
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First Published 16 Nov 2011 4:12pm