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Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic
The aim of the work underpinning this paper has been to track the evolution of tail risk in banks’ NPL portfolios present under normal and worst conditions (before and during the pandemic of COVID-19), and to estimate the impact of sector concentration risk on amounts of economic capital. Results fu...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Springer US
2022
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9132359/ http://dx.doi.org/10.1007/s10644-022-09412-5 |