Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/91728 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 53/2013
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
loan portfolio
credit risk
loan losses
concentration
JEL: 
G11
G21
C23
C43
ISBN: 
978-3-86558-995-8
Dokumentart: 
Working Paper
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