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