'Concentration Risk in Credit Portfolios': A Workshop on Applied Banking Research
November 2005
The Basel Committee on Banking Supervision is organising a joint research
workshop with the
Deutsche
Bundesbank
and the
Journal
of Credit Risk
for credit risk experts from banks, universities
and supervisory authorities. The workshop will be held on 18 November 2005 in
Frankfurt/Eltville, Germany. The Basel Committee hopes to intensify contacts
among researchers of different institutions and to stimulate both theoretical
and empirical research that assists bank supervision and regulation.
Researchers from banks, universities and supervisory authorities
are encouraged to submit proposals for papers to be presented at the workshop.
Submissions should be of high quality, originality and of relevance to risk
management or bank supervision. Furthermore, they should be limited to
unpublished, recent work in progress. A special issue of the Journal of Credit
Risk will be devoted to the workshop. The programme committee, consisting of
Michael Gordy (Chair, Federal Reserve Board), Klaus Düllmann (Deutsche
Bundesbank), William Perraudin (Imperial College), Michael Pykhtin (Bank of
America), and Tom Wilde (Credit Suisse First Boston), is particularly
encouraging papers in the following areas:
-
Estimation of asset correlations and default correlations including empirical
work on the relative impact of systematic and idiosyncratic risk;
-
Measuring and managing concentration risk of large single exposures, including
capital allocation;
-
Measuring and managing concentrations of risk in industry sectors and in
geographical regions, including country risk;
-
Stress testing of risk concentrations; and
-
Empirical studies on the importance of lending concentrations in bank failures.
A brief introduction into the topic of the workshop is provided
by a background information page.
Selected references on these topics are listed in a brief
bibliography. Instructions for authors on submission to the workshop
can be found in the Call for Papers
(PDF, 23 kb).
See the workshop programme.
