Selected Literature on Concentration Risk in Credit Portfolios

Basel II and its asymptotic single-risk-factor model foundation

• Basel Committee on Banking Supervision (2004): International convergence of capital measurement and capital standards: A revised framework, June.
• Gordy, M (2003): “A risk-factor model foundation for ratings-based bank capital rules”, Journal of Financial Intermediation 12(3), pp 199-232.
• Wilde, T (2001): “The IRB approach explained”, Risk Magazine 14(5), pp 87-90.

Granularity adjustment for single name concentrations

• Dembo, A, J-D Deuschel and D Duffie (2004): “Large portfolio losses”, Finance and Stochastics 8(1).
• Emmer, S and D Tasche (2003): “Calculating credit risk capital charges with the one-factor model”, Working Paper, September.
• Gordy, M (2004): “Granularity adjustment in portfolio credit risk measurement”, in: G Szegö (ed), Risk Measures for the 21st Century, John Wiley.
• Gouriéroux, C, J P Laurent and O Scaillet (2000): “Sensitivity analysis of values at risk”, Journal of Empirical Finance 7, pp 225-245.
• Martin, R and T Wilde (2002): “Unsystematic credit risk”, Risk Magazine 15(11), pp 123-128.
• Wilde, T (2001): “Probing granularity”, Risk Magazine 14(8), pp 103-106.

VaR adjustment for sector concentration

• Garcia Cespedes, J C, A Keinin and D Rosen (2004): “A simple multi-factor ‘factor adjustment’ for the treatment of diversification in credit capital rules”, Algorithmics Working Paper.
• Pykhtin, M (2004): “Multi-factor adjustment”, Risk Magazine 17(3), pp 85-90.

Estimation of default dependence

• Das, S R, L Freed, G Geng and N Kapadia (2002): “Correlated default risk”, Working Paper.
• De Servigny, A and O Renault (2002): “Default correlation: Empirical evidence”, Standard and Poor’s Working Paper.
• Duellmann, K and H Scheule (2003): “Asset correlation of German corporate obligors: Its estimation, its drivers and implications for regulatory capital”, Working Paper.
• Frey, R and A J McNeil (2003): “Dependence modelling, model risk and model calibration in models of portfolio credit risk”, Journal of Risk 6(1).
• Gagliardini, P and C Gouriéroux (2004): “Stochastic migration models with application to corporate risk”, Working Paper.
• Gordy, M and E Heitfield (2002): “Estimating default correlations from short panels of credit rating performance data”, Federal Reserve Board Working Paper.
• Lopez, J A (2004): “The empirical relationship between average asset correlation, firm probability of default, and asset size”, Journal of Financial Intermediation 13(2), pp 265-283.
• Lucas, D J (1995): Default correlation and credit analysis, Journal of Fixed Income 4(4), pp 76-87.
• Martin R, K Thompson and C Browne (2001): “How dependent are defaults?”, Risk Magazine 14(7), pp 87-90.

Contagion in credit portfolios

• Egloff, D, M Leippold and P Vanini (2004): “A simple model of credit contagion”, Working Paper, University of Zurich, September.
• Focardi, S M and F J Fabozzi (2004): “A percolation approach to modelling credit loss distribution under contagion”, Journal of Risk 7(1).
• Frey, R and J Backhaus (2003): “Interacting defaults and counterparty risk: a Markovian approach”, Working Paper, University of Leipzig.
• Giesecke, K and S Weber (2003): “Cyclical correlations, credit contagion, and portfolio losses”, Journal of Banking and Finance, 28, pp 3009-3036.