Use concentration indices to measure and monitor concentration in a credit portfolio. For more information on concentration indices, see Concentration Indices.
|Compute ad-hoc concentration indices for a portfolio
- 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.
- Concentration Indices
In financial risk applications, concentration is the opposite of diversification.