Risk Diversification in the Credit Portfolio : An Overview of Country Practices
IMF Working Papers, December 1, 2001
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- Risk Diversification in the Credit Portfolio : An Overview of Country Practices
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Bibliographic details
- Authors: JoAnne Morris
- Published: December 1, 2001
- Series: IMF Working Papers
Summary
- This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio.
- The paper focuses on issues suggested by international organizations for countries and bank supervisors to consider in imposing standards for risk diversification in the credit portfolio.
- Issues reviewed for each country are:
- the large exposure limits,
- the definition of credit exposure (including application on a consolidated basis),
- the definition of a group of related borrowers.
- Conclusion: most of the countries reviewed set limits on large exposures for banks and define a related group of borrowers in line with recommended international standards.
Key Findings
- Most countries reviewed:
- set limits on large exposures for banks, and
- define a related group of borrowers in line with recommended international standards.
- Major differences identified among countries include:
- how to determine the credit exposure,
- the application of the exposure limits on a consolidated basis,
- whether to impose limits on exposure to a specific sector.
Subject Matter and Keywords
- Subject: Credit risk
- Keywords: bank for international settlements, banking, banking supervision, capital adequacy, capital base, credit concentration, large credit exposure, risk diversification
Content in this bundle
- Risk Diversification in the Credit Portfolio: An Overview of Country Practices - WP/01/200