Hannah Kay Index
From Open Risk Manual
Contents
Definition
For the purpose of measuring concentration (e.g., name, sector or geographic concentration), the Hannah-Kay Index is defined as the sum product of relative portfolio shares of the exposures raised to a desired exponent (power).
Details
More precisely, if we have n exposures summing up to a total exposure of
where each exposure fraction is defined [1] as
Then the Hannah-Kay index is defined as
Usage
None
Variations
None
Issues and Challenges
None
Implementations
Open Source implementations of the Hannah-Kay index are available in
- the Python library Concentration Library
See Also
None
References
- ↑ O.Bajo R. Salas, "Inequality Foundations of Concentration Measures