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|
Examples and How To
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.
This example shows how to simulate random portfolios with different distributions and compare their concentration indices.
In financial risk applications, concentration is the opposite of diversification.