Concentration Indices
Compute concentration measures for credit portfolios
Use concentration indices to measure and monitor concentration in a credit portfolio. For more information on concentration indices, seeConcentration Indices.
Functions
concentrationIndices |
Compute ad-hoc concentration indices for a portfolio |
Examples and How To
- Analyze the Sensitivity of Concentration to a Given Exposure
This example shows how to sweep through a range of values for an existing exposure to double the current value and plot the corresponding values.
- Compare Concentration Indices for Random Portfolios
This example shows how to simulate random portfolios with different distributions and compare their concentration indices.
Concepts
- Concentration Indices
In financial risk applications, concentration is the opposite of diversification.
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