Resources fo concentration risk management
Concentration Risk Management is a staple of risk management. Open Riskdeveloped a unique and novel set of risk management resources to assist with building in-house knowledge for managing credit concentration risks.
Resources range from courses and online manuals to open source calculators and mobile eLearning games. In this post we have a brief summary of what is available, you can find more details by clicking on the embedded links
Open Risk Academy
The Open Risk Academy is an eLearning platform offering innovative training around Risk Management. The training program is highly flexible to suit individual needs:
- self-paced crash courses that you can tackle at any time or longer organized courses that you pursue together with your peers
- from introductory to advanced topics
- from non-technical to quantitative and programming tracks The Academy uses interactive, visually engaging material as the best way to tackle the challenge of an ever growing risk management knowledge base.
The following online courses are now available as part of the Credit Concentration Cycle. More detailed course factsheets available at the Academy
Introduction to Credit Concentrations
A CrashProgram introduction to the topic of credit risk concentrations: Introduction to the concept, the regulations and the measurement techniques. For those with little prior knowledge of the subject who want a quick introduction
Basel on Credit Concentration Risk
A four session DeepDive into regulatory aspects of credit concentration: the Large Exposure Framework and the Pillar II. The course reviews all the relevant segments of the BIS documentation. For those who need a detailed walk-through of all elements of regulatory framework around credit concentration
Concentration Measurement Using Python
A CrashProgram in the use of python for risk modelling purposes, in particular credit concentration measurement. The course builds step by step the knowledge required to use python to meet a basic risk management challenge, calculating a concentration index from portfolio data. For those looking to adopt Python as a programming language for risk modeling
Credit Concentration in the UK Pillar II
This course is a DeepDive into the newly amended UK regulatory framework around credit risk concentrations and their treatment under Pillar II. It is of particular interest that the UK regulatory authority has published for the first time concrete benchmark methodologies for Pillar II capital add-ons hence this course is of interest for anybody involved in a credit risk ICAAP. A preview of the course content is available here. An interactive calculator of add-ons is available here
Measuring Name Concentrations
This course is a DeepDive into measuring name concentrations in credit portfolios. It covers i) the measurement of credit name concentrations using basic indicators and indexes such as the concentration ratio and the HHI index and ii) the measurement of credit name concentrations using more advanced (risk based) indicators such as volatility and economic capital based name concentration indexes (including granularity adjustments). This course if of interest for those who want to understand thoroughly the intricacies and conceptual issues around constructing useful name concentration indexes
Measuring Sector Concentrations
This course is a DeepDive into measuring sector concentrations in credit portfolios. It covers the following topics:
i) The measurement of sector (industry) concentrations using basic indicators and indexes such as the concentration ratio and the HHI index and ii) The measurement of credit sector concentrations using more advanced (risk based) indicators such as volatility and economic capital based sector concentration indexes (including multi-factor adjustments). This course if of interest for those who want to understand thoroughly the intricacies and conceptual issues around constructing useful sector concentration indexes
The Risk Manual is a repository of information for risk management developed and maintained by Open Risk and open to contributors. The objective is to create a comprehensive, detailed, authoritative collection of risk management resources that are easily accessible by anybody, anywhere
Collections of Articles on Credit Concentration, for example: Concentration Ratio, HHI, Shannon, Hannah-Kay, Gini.
Read also our white paper around the interpretation of concentration metrics and their varying sensitivities to portfolio changes. A good reminder that in risk management there are surprises and dangers from complacency around every corner, no matter how familiar!
Open Source Risk Modeling
Open Source has been taking the software world by storm and at Open Risk we make a strong case for its adoption in the banking industry, in particular risk modeling.
Concentration Library. A open source python library for the computation of various concentration indexes. The basic formulas of concentration metrics are simple and well known but a collection of tested implementations is useful to have handy
Mobile Learning Apps
FuriousBanker is a mobile app (Android only) that helps you learn risk management concepts in a fun and engaging way. This educational game series for mobiles and tablets enables modern interactive elearning for people working (or aspiring to work) in financial risk management.
Game instructions for FuriousBanker: The credit detox challenge:
You Objective: You inherited a pretty toxic portfolio and your objective is to reduce the concentration, even while improving your profitability
Read the rest (and download the game) at the FuriousBanker GitHub Link!