A Study of Loan Portfolio Concentration Risk-Evidence from the selected Bank
碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 97 === The ASRF model underpinnings of the IRB capital rules presume that the bank portfolio is fully diversified with respect to individual borrowers. When there are material name concentrations of exposure, there will be a residual of undiversified idiosyncratic ri...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/mxhxny |
| Summary: | 碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 97 === The ASRF model underpinnings of the IRB capital rules presume that the bank portfolio is fully diversified with respect to individual borrowers. When there are material name concentrations of exposure, there will be a residual of undiversified idiosyncratic risk in the portfolio, and the IRB formula will understate the required economic capital. We develop a simple methodology for approximating the effect of undiversified idiosyncratic risk.
Our GA is a revision and extension of the methodology proposed in the Basel II Second Consultative Paper. This “upper bound” methodology under which banks would be required to aggregate multiple exposures to the same underlying obligor only for a subset of their obligors. This addresses what appears to be the most significant operational burden associated with any rigorous assessment of residual idiosyncratic risk in the portfolio. For many banks, this approach would permit dramatic reductions in data requirements relative to the full GA.
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