Scribd
Upload
23 views

Bullet Points On Concentration Risk

This document summarizes concentration risk at a bank. It finds high levels of concentration in certain industries based on Herfindahl-Hirschman Index scores and a Gini coefficient of 0.65. Concentration among the bank's largest borrowers is also increasing, as shown by rising Gini coefficients for exposure and capital related to large rated borrowers. While the overall portfolio is diversified, concentrations exist among large borrowers. Regional analyses show concentration varies between the bank's five geographic regions and overseas branches.

Uploaded by

yogeshthakker
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
23 views

Bullet Points On Concentration Risk

This document summarizes concentration risk at a bank. It finds high levels of concentration in certain industries based on Herfindahl-Hirschman Index scores and a Gini coefficient of 0.65. Concentration among the bank's largest borrowers is also increasing, as shown by rising Gini coefficients for exposure and capital related to large rated borrowers. While the overall portfolio is diversified, concentrations exist among large borrowers. Regional analyses show concentration varies between the bank's five geographic regions and overseas branches.

Uploaded by

yogeshthakker
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
You are on page 1/ 1

Bullet points on Concentration Risk

Result of Industry Wise Credit Concentration o HHI 148.14 Calculated using Basel-II industry wise disclosure information HHI is sum of squares of % distribution of each industry in total credit exposure o Gini coefficient 0.65 Calculated using Basel-II industry wise disclosure information o Concentration rate C1 is share of top borrower in total credit exposure of the bank C3 is aggregate share of top 3 borrowers in total credit exposure of the bank and so on Results of Concentration Risk (Single-Name) Solo Position o Calculated using Portfolio data of Large rated borrowers o Gini Coefficient of Exposure is 0.6628 which has increased over the previous year thus indicating increase in concentration o Gini Coefficient of IRB Capital is 0.6585 which also has increased over the previous year thus indicating increase in concentration PD & LGD used as per our own estimates, M Assumed to be 2.5 years o Overall portfolio remains well diversified but large rated borrowers are indicating concentrations as reflected by Gini coefficient. Region wise HHI o All circles mapped to 5 different regions o Overseas branches taken as one region o HHI then calculated as sum of square of share of each region in total credit exposure of the bank

You might also like