# 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.