www.cass.city.ac.uk
Prof. Vasso Ioannidou
SMM 104 Risk Management
Credit Risk: Loan Portfolio and
Concentration Risk
Part 1
Required Reading
SC, Chapter 11
Learning outcomes
▪ So far we focused on credit risk of an individual loan or asset
▪ Now, we will focus on the ability of an FI manager to measure credit risk
in a portfolio context and benefit from diversification
▪ Simple models of loan concentration risk
❖ Migration analysis
❖ Concentration limits
▪ Modern P...
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