Concentration risk: Setting credit limits in loan portfolios, case of Morocco-Reference-Cited by-同舟云学术

Concentration risk: Setting credit limits in loan portfolios, case of Morocco

Published:2016 Issue:3 Volume:6 Page:48-56
ISSN:2077-4303
Container-title:Risk Governance and Control: Financial Markets and Institutions
language:en
Short-container-title:RGC

Author:

Mehdi Bazzi^ORCID,Hassan Chhaiba,Chamlal Hasna^ORCID

Abstract

The latest biggest financial crisis reveals different weakness points over the global financial system. The concentration risk is one of many different risks that figured out by the regulators after the 2008 financial crisis. To deal with such a risk the regulators set up a dispositive of measures to control it. Therefore, we suggest in this paper a version of a mathematical model that optimize the allocation of capitals for a credit portfolio of a bank with taking into consideration the Moroccan regulatory environment.

Publisher

Virtus Interpress

Subject

Strategy and Management,Economics and Econometrics,Finance

Link

https://virtusinterpress.org/IMG/pdf/10-22495_rcgv6i3c1art6-2.pdf

Reference6 articles.

1. Benoît Roger and Vivien Brunel (2014), Le risque de crédit, des modèles au pilotage de la banque.

2. Bluhm, C., L. Overbeck, and C. Wagner (2003), An Introduction to Credit Risk Modeling, Chapman&Hall/CRC.

3. Hirschman, A.O. 1964. The Paternity of an Index. 1964. American Economic Review Vol. 54, pp 761- 762.

4. Gupton, G., C. Finger and M. Bhatia (1997), “CreditMetrics - Technical Document”.

5. Joint Forum (1999), “Risk Concentration Principles”, Basel.

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