From Pillar 2 to post: is it time for a change in concentration risk methodology?
BankUnderground
OCTOBER 22, 2021
The Herfindahl-Hirschman Index (HHI) is a measure of diversification, commonly used as an indicator to calculate banks’ credit concentration risk capital requirements (where credit concentration risk is potential losses from undiversified portfolios). Chris Leaney. According to BCBS (2019) HHI is employed by c.
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