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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1572308914000321
Full text for ScienceDirect subscribers only
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
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
Access Statistics for this article
Journal of Financial Stability is currently edited by I. Hasan, W. C. Hunter and G. G. Kaufman
More articles in Journal of Financial Stability from Elsevier
Bibliographic data for series maintained by Catherine Liu ().