Selected Literature on Concentration Risk in Credit Portfolios

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

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

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.