IDEAS home Printed from https://ideas.repec.org/a/kap/jfsres/v32y2007i1p55-79.html
   My bibliography  Save this article

A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios

Author

Listed:
  • Klaus Düllmann
  • Nancy Masschelein

Abstract

No abstract is available for this item.

Suggested Citation

  • Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 55-79, October.
    • Handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:55-79
    DOI: 10.1007/s10693-007-0014-3
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10693-007-0014-3
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10693-007-0014-3?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Klaus Düllmann & Nancy Masschelein, 2006. "The impact of sector concentration in loan portfolios on economic capital," Financial Stability Review, National Bank of Belgium, vol. 4(1), pages 175-187, June.
    2. Dietsch, Michel & Petey, Joel, 2002. "The credit risk in SME loans portfolios: Modeling issues, pricing, and capital requirements," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 303-322, March.
    3. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
    4. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Working Paper Research 105, National Bank of Belgium.
    5. Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008. "Firm heterogeneity and credit risk diversification," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September.
    6. Krüger, Ulrich & Stötzel, Martin & Trück, Stefan, 2005. "Time series properties of a rating system based on financial ratios," Discussion Paper Series 2: Banking and Financial Studies 2005,14, Deutsche Bundesbank.
    7. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Beck, Thorsten & De Jonghe, Olivier, 2013. "Lending concentration, bank performance and systemic risk : exploring cross-country variation," Policy Research Working Paper Series 6604, The World Bank.
    2. Roberta Fiori & Claudia Pacella, 2019. "Should the CCYB be enhanced with a sectoral dimension? The case of Italy," Questioni di Economia e Finanza (Occasional Papers) 499, Bank of Italy, Economic Research and International Relations Area.
    3. Duellmann, Klaus & Kick, Thomas, 2012. "Stress testing German banks against a global cost-of-capital shock," Discussion Papers 04/2012, Deutsche Bundesbank.
    4. Natalia Nehrebecka, 2019. "Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(2), pages 681-712.
    5. Natalia Nehrebecka, 2023. "Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic," Economic Change and Restructuring, Springer, vol. 56(1), pages 129-158, February.
    6. Bülbül, Dilek, 2013. "Determinants of trust in banking networks," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 236-248.
    7. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
    8. Klaus Düllmann & Thomas Kick, 2014. "Stress testing German banks against a global credit crunch," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 337-361, November.
    9. Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
    10. Nadya Jahn & Christoph Memmel & Andreas Pfingsten, 2016. "Banks’ Specialization versus Diversification in the Loan Portfolio," Schmalenbach Business Review, Springer;Schmalenbach-Gesellschaft, vol. 17(1), pages 25-48, April.
    11. Bandyopadhyay, Arindam, 2010. "Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases," MPRA Paper 24822, University Library of Munich, Germany.
    12. Bülbül, Dilek & Hakenes, Hendrik & Lambert, Claudia, 2019. "What influences banks’ choice of credit risk management practices? Theory and evidence," Journal of Financial Stability, Elsevier, vol. 40(C), pages 1-14.
    13. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    14. Regele, Fabian & Gründl, Helmut, 2021. "Asset concentration risk and insurance solvency regulation," ICIR Working Paper Series 40/21, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
    15. Roncoroni, Alan & Battiston, Stefano & D’Errico, Marco & Hałaj, Grzegorz & Kok, Christoffer, 2021. "Interconnected banks and systemically important exposures," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
    16. Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
    17. Dietsch, Michel & Petey, Joël, 2015. "The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans," Journal of Housing Economics, Elsevier, vol. 28(C), pages 103-120.
    18. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    19. Matteo Accornero & Giuseppe Cascarino & Roberto Felici & Fabio Parlapiano & Alberto Maria Sorrentino, 2017. "Sectoral risk in the Italian Banking System," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Uses of central balance sheet data offices' information, volume 45, Bank for International Settlements.
    20. Bo Liu & James D. Shilling & Tien Foo Sing, 2020. "Large Banks and Efficient Banks: how Do they Influence Credit Supply and Default Risk?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 57(1), pages 1-28, February.
    21. Bandyopadhyay, Arindam, 2011. "Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank," MPRA Paper 28672, University Library of Munich, Germany.
    22. Mohamed A. Elbannan, 2016. "Accounting Discretion and the Market Disciplining of Bank Risk-taking Behavior: An Assessment of the Effectiveness of Egyptian Banking Reforms from an Accounting Perspective," Accounting and Finance Research, Sciedu Press, vol. 5(4), pages 1-1, November.
    23. Dermine, Jean, 2015. "Basel III leverage ratio requirement and the probability of bank runs," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 266-277.
    24. Bülbül, Dilek & Lambert, Claudia, 2012. "Credit portfolio modelling and its effect on capital requirements," Discussion Papers 11/2012, Deutsche Bundesbank.
    25. Beck, Thorsten & De Jonghe, Olivier & Mulier, Klaas, 2017. "Bank sectoral concentration and (systemic) risk: Evidence from a worldwide sample of banks," CEPR Discussion Papers 12009, C.E.P.R. Discussion Papers.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
    2. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
    3. Pierpaolo Grippa & Lucyna Gornicka, 2016. "Measuring Concentration Risk - A Partial Portfolio Approach," IMF Working Papers 2016/158, International Monetary Fund.
    4. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    5. Lyons, Paul & Nevin, Ciarán & Shaw, Frances, 2019. "Real-estate concentration in the Irish banking system," Financial Stability Notes 4/FS/19, Central Bank of Ireland.
    6. Natalia Nehrebecka, 2018. "Sectoral risk assessment with particular emphasis on export enterprises in Poland," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(2), pages 677-700.
    7. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Working Paper Research 105, National Bank of Belgium.
    8. Sokolov, Yuri, 2009. "Interaction between market and credit risk: Focus on the endogeneity of aggregate risk," MPRA Paper 18245, University Library of Munich, Germany.
    9. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
    10. Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
    11. Jeroen Rombouts & Marno Verbeek, 2009. "Evaluating portfolio Value-at-Risk using semi-parametric GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 737-745.
    12. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
    13. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    14. Dingshi Tian & Zongwu Cai & Ying Fang, 2018. "Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201807, University of Kansas, Department of Economics, revised Oct 2018.
    15. Rosen, Dan & Saunders, David, 2009. "Analytical methods for hedging systematic credit risk with linear factor portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 37-52, January.
    16. Ongena, Steven & Tümer-Alkan, Günseli & Westernhagen, Natalja v., 2012. "Creditor concentration: An empirical investigation," European Economic Review, Elsevier, vol. 56(4), pages 830-847.
    17. Fecht, Falko & Grüner, Hans Peter & Hartmann, Philipp, 2012. "Financial integration, specialization, and systemic risk," Journal of International Economics, Elsevier, vol. 88(1), pages 150-161.
    18. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.
    19. Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
    20. Humphery-Jenner, M., 2011. "Anti-takeover Provisions as a Source of Innovation and Value Creation," Discussion Paper 2011-045, Tilburg University, Center for Economic Research.

    More about this item

    Keywords

    Credit concentration; sector concentration risk; economic capital; G18; G21; C1;
    All these keywords.

    JEL classification:

    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:kap:jfsres:v:32:y:2007:i:1:p:55-79. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.