The common drivers of default risk

Christoph Memmel, Yalin Gündüz and Peter Raupach ()

Journal of Financial Stability, 2015, vol. 16, issue C, 232-247

Abstract: Using a unique data set on German banks’ loans to the German real economy, we investigate banks’ credit risk. This data set contains the volume of loans, and write-downs on loans, per bank and industry. Our empirical study for the period 2003–2011 yields the following results: (i) alongside the average nationwide credit loss rate, industry composition, regional factors, and the state of the global economy, the loans’ maturity structure is identified as an additional driver of the bank-wide loss rates in the credit portfolio. (ii) The nationwide loss rate has the largest impact, followed by the maturity structure and the industry composition. (iii) For nationwide banks, these common factors explain about 26% of the time variation in the loss rate of credit portfolios; for regional banks, this figure is less than 8%.

Keywords: Credit risk; Systematic risk; Maturity; Stress tests (search for similar items in EconPapers)
JEL-codes: G21 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (18)

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Working Paper: The common drivers of default risk (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:16:y:2015:i:c:p:232-247

DOI: 10.1016/j.jfs.2014.03.002

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