Concentration Risk

As part of the public beta testing programme, two new Open Risk Academy courses are accessible absolutely free (and with no strings attached :-).

The courses are introductions to measuring credit name or sector concentrations in credit portfolios. They cover the following topics:

• The concept of credit name or sector concentration - what it is and how it can be measured
• The regulatory context and how the issue is covered by requirements and regulatory guidance
• The measurement of credit name or sector concentrations using basic indicators and indexes
• The measurement of credit name or sector concentrations using more advanced (risk based) indicators

The courses run from Oct 7th till Oct 13th. Read more about prerequisites for the courses here:

The rationale for continuing with internal capital models in the Basel 3 world

Overview of the challenges and opportunities offered by internal capital models (economic capital models) in the post-crisis era. Conference Presentation given at:

• Venue: 2nd Annual Capital Modelling under Basel III (Marcus Evans Conference)
• Location: London
• Time: January 28th 2014
• Link to presentation: Local file

Building out further the Open Risk Academy curriculum around Credit Risk Concentration management, we just added a course on sector concentration.

We just added a new course at the Open Risk Academy!

The course covers name concentration risk measurement, chiefly the construction of suitable metrics based on portfolio data (Free registration is required for this course)

The first batch of open source tools focusing on Credit Portfolio calculations is now available here. The functionality aims to standardize Name Concentration Measurement (concentrationMetrics)