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2012 | 5 | nr 1 | 51--61
Tytuł artykułu

The Measurement of Concentration Risk in Loan Portfolios

Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
The current financial and economic situation, as well as requirements of consumers changes very quickly. For this reason, banks have to update their portfolio of the services all the time. Nevertheless, lending remains one of the most important and most profit-generating activities for the banks. Providing loans, banks are exposed with many risks: credit risk, liquidity risk, market risk, operational risk and others. Usually, the most important risk is credit risk. Often it comes from undue concentration of loan portfolios. Concentration risk in loan portfolios arises from uneven distribution of credit across sectors or providing large loans to individual borrowers. In this context, this article analyses definition and importance of concentration risk in the loan portfolio. Causes of concentration risk and methods that are used to measure concentration risk are also examined in this article. The third part of this article analyses how the loan portfolio changed in Lithuanian bank's during 2004 - 2010 years. Concentration risk in the loan portfolio, depending on the loans given for different sectors of economic activity, is measured in this article as well. (original abstract)
Rocznik
Tom
5
Numer
Strony
51--61
Opis fizyczny
Twórcy
  • Vilnius University, Lithuania
  • Vilnius University, Lithuania
Bibliografia
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  • Deutsche Bundesbank (2006), Concentration risk in credit portfolios [interactive] bundesbank.de, [accessed on October 15, 2011], 19 p., in: <http://www.bundesbank.de/download/volkswirtschaft/mba/2006/200606mba_en_conc entration.pdf>
  • Dullmann Klaus, Masschelein Nancy (2006), Sector concentration in loan portfolios and economic capital [interactive], Deutsche Bundesbank, 56 p. [accessed on October 15, 2011], in: <http://defaultrisk.eu/img_auth.php/a/a1/Dullmann2.pdf>
  • York, Jonathan (2007), Bank concentration risk, The RMA Journal [interactive], Sungard.com p. 52-57 [accessed on October 26, 2011], in: <www.sungard.com/~/media/96BEFC26C107482FB42A2AC41CDC7286.ashx>
  • Jasinavicus, R.; Tamošiūnienė, R.; Sokol, J. Verslininkas ir jo veikla [interactive]. Distance.ktu.lt [accessed on October 16, 2011], in: <http://distance.ktu.lt/kursai/verslumas/verslo_projektavimas_II/fcontent.html>
  • Kuodis, Raimondas (2010), Makroekonomikos ir finansų sistemos sąveika, burbulai ir krizių ekonomika [interactive], Ekonomika.org [accessed on October 19, 2011], in: <http://neris.mii.lt/~ekonomika/Makro/PDF_2011/makro_18_2011 .pdf>
  • Langrin L. Brian, Roach Kirsten (2008), Measuring the Effects of Concentration and Risk on Bank Returns: Evidence from a Panel of Individual Loan Portfolios in Jamaica [interactive], 39 p. [accessed on October 28, 2011], in: <http://www.ccmf-uwi.org/files/publications/misc/brian_langrin/MeasuringtheEffectsofConcentration.pdf>
  • Lietuvos banko valdybos nutarimas "Dėl vidaus kontrolės ir rizikos vertinimo (valdymo) organizavimo nuostatų" Nr. 149 (2008), Priimtas 2008 m. rugsėjo 25 d. Lietuvos bankas [accessed on October 23, 2011], in: <www.lb.lt/docs/Word/120080925149.doc>
  • Lietuvos Bankas (2011), Paskolų veiklos rūšimis likučių struktūra [interactive] lb.lt [accessed on October 10, 2011], in: <http://www.lb.lt/statistics/statbrowser.aspx?group=7260&lang=lt&orient=vert>
  • Šimkus, Gediminas; Mendelevicius, Mantas (2006), Lietuvos bankų paskolų pasiskirstymas pagal ekonominę veiklą finansinio stabilumo požiūriu, Pinigų studijos [interactive], Nr. 2, p. 5-20 [accessed on October 16, 2011], in: <http://www.lb.lt/lt/leidiniai/pinigu_studijos2006_2/simkus.pdf>
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171302655

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