CONCENTRATION RISK: SETTING CREDIT LIMITS IN LOAN PORTFOLIOS, CASE OF MOROCCO

Bazzi Mehdi, Chhaiba Hassan, Chamlal Hasna
2016 Risk Governance and Control: Financial Markets & Institutions  
The latest biggest financial crisis reveals different weakness points over the global financial system. The concentration risk is one of many different risks that figured out by the regulators after the 2008 financial crisis. To deal with such a risk the regulators set up a dispositive of measures to control it. Therefore, we suggest in this paper a version of a mathematical model that optimize the allocation of capitals for a credit portfolio of a bank with taking into consideration the
more » ... deration the Moroccan regulatory environment.
doi:10.22495/rcgv6i3c1art6 fatcat:cyvzi3tyr5ebtimumewmsfrndi