Single Factor and Multifactor Risk Model to Measure Concentration Risk of Credit Portfolio under Basel Regulations Ji, Junjie Management ASFR Basel Concentration Risk Multi-factor Credit Risk model Regulatory Capital VAR My research discussed the essential part of Basel regulations, which is calculating the regulatory capital of bank portfolios using the asymptotic single risk factor model (ASRF) under the internal rating-based approach (IRB). I’m trying to analyze whether the regulatory model is strong enough to measure the credit risk of banks portfolios accurately. Is the model capable of reflecting and controlling the concentration risk involved in bank portfolios? By relaxing the single factor assumption, there are models and methods to calculate unexpected loss (defined as VaR) and required capital. In my research, I propose and validate the models in different scenarios and evaluate whether they can effectively catch the tail risk of bank portfolios without overcharging required capital. My research proved that ASRF lacks the sensitivity to capture sector concentration risk. There are advantages, as well as shortcomings of each multifactor model. I propose that banks include the appropriate multifactor model in the risk management process based on their portfolios' characteristics. The result and related discussion will also contribute to addressing the conflict of banks' profitability and risk control under the Basel regulatory framework. Cooper, Ricky 2022 Dissertation application/pdf islandora:1024867 http://hdl.handle.net/10560/islandora:1024867 Illinois Institute of Technology SSB / Stuart School of Business en In Copyright http://rightsstatements.org/page/InC/1.0/ Restricted Access