Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/91728
Authors: 
Jahn, Nadya
Memmel, Christoph
Pfingsten, Andreas
Year of Publication: 
2013
Series/Report no.: 
Discussion Paper, Deutsche Bundesbank 53/2013
Abstract: 
Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio. In our empirical study for the period 2003-2011, we find that (a) banks which are specialized in certain industries have, on average, lower loan losses, (b) the loss rate of a given industry in a bank's loan portfolio is lower if the bank has major exposures to this industry, and (c) the standard deviation of the loan losses is lower in the case of more focused banks.
Subjects: 
loan portfolio
credit risk
loan losses
concentration
JEL: 
G11
G21
C23
C43
ISBN: 
978-3-86558-995-8
Document Type: 
Working Paper

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