TY - JOUR
T1 - Credit risk measurement
AU - Paroush, Jacob
PY - 1992
Y1 - 1992
N2 - Supervisory authorities regulate banks by limiting simple and weighted capital-assets ratios as well as the maximum loan granted to a single borrower. These measures are taken mainly to prevent financial intermediaries from bearing excessive credit risk. The purpose of this paper is twofold; first to construct a model within which the customary use of these tools would be justified and, second, within the same theoretical framework, to offer a measure of the total exposure of a bank to credit risk. An interesting finding is that the Herfindahl-Hirschman coefficient of concentration is the most appropriate measure of diversification of banks' portfolios.
AB - Supervisory authorities regulate banks by limiting simple and weighted capital-assets ratios as well as the maximum loan granted to a single borrower. These measures are taken mainly to prevent financial intermediaries from bearing excessive credit risk. The purpose of this paper is twofold; first to construct a model within which the customary use of these tools would be justified and, second, within the same theoretical framework, to offer a measure of the total exposure of a bank to credit risk. An interesting finding is that the Herfindahl-Hirschman coefficient of concentration is the most appropriate measure of diversification of banks' portfolios.
UR - http://www.scopus.com/inward/record.url?scp=44049121266&partnerID=8YFLogxK
U2 - 10.1016/1059-0560(92)90004-v
DO - 10.1016/1059-0560(92)90004-v
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AN - SCOPUS:44049121266
SN - 1059-0560
VL - 1
SP - 33
EP - 41
JO - International Review of Economics and Finance
JF - International Review of Economics and Finance
IS - 1
ER -