Reviewing Pillar 2 regulations: credit concentration risk

Author:Lukasz Prorokowski, Hubert Prorokowski, Georgette Bongfen Nteh
Position:Institute of Financial Complex Systems, Masaryk University, Brno, Czech Republic

Purpose This paper aims to analyse the recent changes to the Pillar 2 regulatory-prescribed methodologies to classify and calculate credit concentration risk. Focussing on the Prudential Regulation Authority’s (PRA) methodologies, the paper tests the susceptibility to bias of the Herfindahl-Hirscham Index (HHI). The empirical tests serve to assess the assumption that the regulatory... (see full summary)

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