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Concentration Risk Models

Posted by Artyom Tochilovsky on October 10, 2013 at 7:24 in Questions

Dear all,

I am looking for materials to review the best practices related to credit concentration risk models. I am familiar with BIS WP 15 (Studies on credit risk concentration), but it was issued in 2006, and I am looking for updated information.

I have an access to empirical researches, therefore I just need your help in order to understand best practices:

  • which models are used in banks?
  • what are the trends in the use of these models?
  • what kind of problems the banks are dealing  with?

I would appreciate any help and/or materials.

Thanks in advance,

Artyom

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