'Concentration Risk in Credit Portfolios': A Workshop on Applied Banking Research

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 Furthermore, they should be limited to unpublished, recent work in progress.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.