Cornelius Kurtz

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

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Calculating Capital Charges for Sector Concentration Risk

Journal of Credit Risk, Forthcoming
Number of pages: 34 Posted: 22 Oct 2018
Cornelius Kurtz, Eva Lütkebohmert and Julian Sester
European Central Bank (ECB), University of Freiburg, Institute for Economic Research and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
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Abstract:

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credit risk, sector concentration risk, capital allocation, analytical approximation, Monte Carlo simulation