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Erschienen in:
2009 | OriginalPaper | Buchkapitel
Name Concentration
Erschienen in: Concentration Risk in Credit Portfolios
Verlag: Springer Berlin Heidelberg
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This chapter focuses on the measurement of single-name concentrations in loan portfolios. As already mentioned in Chapter 7, we can decompose credit risk in loan portfolios into a systematic and an idiosyncratic component. Systematic risk represents the effect of unexpected changes in macroeconomic and financial market conditions on the performance of borrowers while idiosyncratic risk represents the effects of risks that are particular to individual borrowers.