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1. 1. Name Concentration Risk and Pillar 2 Compliance : The Granularity Adjustment

   University essay from KTH/Matematisk statistik

   Author : Björn Torell; [2013]
   Keywords : Credit Risk; Basel II; IRB formula; Concentration risk; Name concentration; ;

   Abstract : A credit portfolio where each obligor contributes infinitesimally to the risk is said to be infinitely granular. The risk related to the fact that no real credit portfolio is infinitely granular, is called name concentration risk. READ MORE