Difference between revisions of "Atkinson Index"
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Latest revision as of 11:27, 17 May 2024
Contents
Definition
For the purpose of measuring credit portfolio or market portfolio Concentration Risk, income inequality or diversity, the Atkinson Index is a parametric family of indexes which, given an index parameter epsilon is defined as follows
Details
If we have n exposures (alternatively values / income measurements) summing up to a total value of
where each observation's fraction is defined as
Then the Atkinson index is given by[1]
- The index parameter epsilon can take any positive value
- The index varies between zero (homogeneous observations) and one (perfect concentration)
Usage
None
Variations
None
Issues and Challenges
None
Implementation
Open Source implementations of the Atkinson index are available in
- the R package IC2
- the Python library Concentration Library
See Also
References
- ↑ A. Atkinson, "On the measurement of inequality", Journal of Economic Theory 2, 244-263 (1970)