Hoover Index

From Open Risk Manual

Definition

For the purpose of measuring name, sector or geographic concentration, the Hoover Index is a simple index defined in terms of the absolute deviation from the mean (The norm).

Details

More precisely, if we have n exposures summing up to a total exposure of

an average exposure

and fractional exposures are defined as

Then the Hoover index is defined as

Usage

None

Variations

None

Issues and Challenges

None

Implementation

Open Source implementations of the Hoover index are available in

See Also

None

References


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