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What is Understanding Single Obligor Limits about?
The document discusses concentration risk in bank loan portfolios. It develops a model to relate a measure of concentration to value at risk to ensure adequate capitalization within a specified confidence level. The Herfindahl-Hirshman index naturally emerges as a measure of concentration, and is directly related to the single obligor limit. The results show how individual limits can be set on loans along different dimensions of concentration to ensure adequate capital for the portfolio
- Author
- Iris Štraus
- Language
- EN