Studies on Credit Risk Concentration¶
Basel Committee on Banking Supervision. (2006). Studies on Credit Risk Concentration: An Overview of the Issues and a Synopsis of the Results from the Research Task Force Project. Bank for International Settlements.
Cited by¶
1 citation across 1 artifact.
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Mechanisms¶
- Systemic Risk Tracing
- Its central failure mode is mistaking diversity for independence — treating many distinct-looking actors as uncorrelated when they in fact co-move under stress, the illusion at the heart of concentration risk.
This sourceExplains concentration risk as exposure to common systematic factors that prevent apparently varied portfolio positions from being independent.
- Its central failure mode is mistaking diversity for independence — treating many distinct-looking actors as uncorrelated when they in fact co-move under stress, the illusion at the heart of concentration risk.
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