Difference between revisions of "Kolm Index"
From Open Risk Manual
Wiki admin (talk | contribs) |
Wiki admin (talk | contribs) |
||
Line 18: | Line 18: | ||
Then the Kolm index is defined as | Then the Kolm index is defined as | ||
:<math> | :<math> | ||
− | K = | + | K = \frac{1}{a} \left( \log( \sum_{i=1}^n e^{ a [w_i - \mu]} ) - \log(n) \right) |
</math> | </math> | ||
Latest revision as of 16:05, 18 June 2021
Contents
Definition
The Kolm Index' is a concentration index useful for the purpose of measuring name, sector or geographic concentration
Details
If we have n exposures summing up to a total exposure of
average exposure
and the fractional exposures are defined as
Then the Kolm index is defined as
Usage
None
Variations
None
Issues and Challenges
None
Implementations
Open Source implementations of the Kolm index are available in
- the R package Ineq
- the Python library Concentration Library
See Also
None