During the last subprime crisis, the concentration risk issue has become increasingly important in\nthe world of finance. This risk is defined as the loss that we can get from a large exposition of a\nsingle name counterparty, a sector or a product. This paper represents some mathematical models\nfor evaluating and quantifying the concentration risk under the Ad-Hoc approaches. This study is\nbased on indexes developed by the theory of inequality and the theory of industrial concentration.\nThis work is about the comparison between these measurements to get which one fits most the financial\ncontext. We have selected a set of concentration indexes than we have implemented an\nempirical test. We propose also a new concentration index. As a result, we shortlist three competitive\nindexes.
Loading....