  Sovereign loan portfolios of Multilateral Development Banks (MDBs) typically
consist of only a small number of borrowers and hence are heavily exposed to
single name concentration risk. Based on realistic MDB portfolios constructed
from publicly available data, this paper quantifies the magnitude of the
exposure to name concentration risk using exact Monte Carlo simulations. In
comparing the exact adjustment for name concentration risk to its analytic
approximation as currently applied by the major rating agency Standard &
Poor's, we further investigate whether current capital adequacy frameworks for
MDBs are overly conservative. Finally, we discuss the choice of appropriate
model parameters and their impact on measures of name concentration risk.
