Wp16158

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WP/16/158 Measuring Concentration Risk A Partial Portfolio Approach by Pierpaolo Grippa and Lucyna Gornicka 2 © 2016 International Monetary Fund WP/16/158 IMF Working Paper Monetary and Capital Markets Department MEASURING ...

Filetype PDF | Posted on 16 Sep 2022 | 2 years ago

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...Wp measuring concentration risk a partial portfolio approach by pierpaolo grippa and lucyna gornicka international monetary fund imf working paper capital markets department prepared authorized for distribution michaela erbenova august papers describe research in progress the author s are published to elicit comments encourage debate views expressed those of do not necessarily represent its executive board or management abstract is an important feature many banking sectors especially emerging small economies under basel framework pillar requirements credit cover calculated internal ratings based irb explicitly exclude it banks expected compensate this autonomously estimating setting aside appropriate buffers which supervisors required assess possibly challenge within process inadequate reflection can lead insufficient levels even when ratios seem high we propose flexible technique on combination full modeling asymptotic results calculate name sector portfolios proposed lends itself be ...

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Category: Uncategorized / Uncategorized
Posted on: 16 Sep 2022 | 2 years ago
Tag: download pdf, wp16158,
Filetype: PDF
File size: 1.03 MB
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