CONCENTRATION RISK: SETTING CREDIT LIMITS IN LOAN PORTFOLIOS, CASE OF MOROCCO

Risk Governance & Control: Financial Markets & Institutions

关键词: Concentration Risk;    Credit Limit;    Sectorial Limit;    Optimization Problem;    Expected at Default;    Probability of Default;    Value at Risk;    Expected Loss;   

DOI  :  10.22495/rcgv6i3c1art6

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

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.

【 授权许可】

CC BY-NC