Abstract [eng] |
One of the most important risks for banks is the credit risk. Credit risk related problems arise for many reasons: too much concentrated credit portfolio, not adequate risk assessment of borrowers or inappropriate ongoing monitor of exposures, etc. One of the main credit risk related problems is too concentrated credit portfolio. Credit concentration risk is defi ned as possibility for a bank to incur loss relatively (compared to bank’s capital, assets or total risk if it possible to estimate the latter) large loss from credit portfolio, so that this loss would endanger normal activity of a bank. Credit concentration risk may arise because of single large credit or several interrelated credits (e.g. borrowers from the same economic sector, geographic region, etc.). It is very important for a bank to identify possible sources of credit concentration, in order to be able to evaluate and manage this risk. Credit concentration risk can arise from many sources: large credit to single borrower; connected borrowers; borrowers having low quality ratings; borrowers from the same foreign countries or geographic region, economic sector, etc.; the same type of collateral; the same type of credits; credits in the same currency and other sources. The list of credit concentration sources is not complete or fi nite, because it is not possible to list all the credit concentration sources. It is up to the bank to decide whether particular credit concentration source is material and should be controlled. Having identifi ed the most important credit concentration sources for the bank, one needs to measure how large is the concentration risk. Two types of measurement units are used for measuring concentration risk: nominal measurement units, like exposure value or units related to amount at risk, like economic capital... |