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, see Concentration Indices.

Functions

concentrationIndicesCompute 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.