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Credit risk concentrations under stress
The Journal of Credit Risk
This article deals with methods for identifying as well as stressing risk concentra tions in credit portfolios, in particular concentrations caused by large exposures to a single sector or to several highly correlated sectors. We present a general and yet computationally efficient framework for implementing stress scenarios in a multifactor credit portfolio model and illustrate the proposed methodology by stressing a large investment banking portfolio. Although the methodology is developed in adoi:10.21314/jcr.2006.042 fatcat:s5yf2meslbcqhek3nyq6yuwy6i