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On the Relevance and Appropriateness of Name Concentration Risk Adjustments for Portfolios of Multilateral Development Banks |
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Date: 22 November 2023, Wed |
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This seminar is jointly organised by Risk Management Institute and Department of Mathematics, NUS |
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Abstract |
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Prof. Eva Lütkebohmert (University of Freiburg) Sovereign loan portfolios of Multilateral Development Banks typically consist of only a small number of borrowers and hence are heavily exposed to single name concentration risk. Based on realistic MDB portfolios constructed from publicly available data, this paper quantifies the magnitude of the exposure to name concentration risk using exact Monte Carlo simulations. In comparing the exact adjustment for name concentration risk to its analytic approximation as currently applied by major rating agencies, we further investigate whether current capital adequacy frameworks for MDBs are overly conservative. (This is joint work with Julian Sester and Hongyi Shen) |
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About the Speaker |
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Eva Lütkebohmert-Holtz is Professor for Quantitative Finance at the University of Freiburg. She studied mathematics at the Universities of Bonn and Toronto and received her PhD (Dr. rer. nat.) in mathematics from the University of Bonn in 2004. From 2005-2006, she worked as research analyst for the Deutsche Bundesbank in the Department for Banking Supervision. From 2006-2009, she was Juniorprofessor at the Faculty for Economics and Social Sciences at the University of Bonn. Afterwards she switched to the University of Freiburg as head of the junior research group Financial Mathematics: Pricing of Risks in Incomplete Markets. In 2013, she was appointed Professor for Quantitatitve Finance at the University of Freiburg. Her research covers both the theoretical and empirical analysis of financial markets and lies at the intersection of economics, mathematics und statistics. Eva Lütkebohmert-Holtz has published several articles on the management and modelling of financial risks, in particular credit and liquidity risk, on interest rate markets, as well as on the valuation and hedging of financial derivatives. |
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