Map Portfolio Concentration Risk
Classify portfolio concentrations by exposure size and correlated stress sensitivity.
Exposure size Stress sensitivity Small Large Lower Higher Watch closely Large size + higher stress sensitivity Example: office CRE with lease rollover, maturity wall, and refinance-rate pressure. Needs limits, stress testing, and management action. tl Manage appetite Small size + higher stress sensitivity Example: fast-growing fintech borrowers with limited history. Exposure is not yet dominant, but correlation argues for caps before growth compounds. tr Routine report Small size + lower stress sensitivity Example: diversified small-ticket equipment leases with stable delinquency and low single-name exposure. Keep aggregation clean, but no special action. bl
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