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A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios

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  • Klaus Düllmann

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  • Nancy Masschelein

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Abstract

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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
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    References listed on IDEAS

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    1. 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.
    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. 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.
    4. 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.
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    Citations

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    Cited by:

    1. 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.
    2. Bülbül, Dilek, 2013. "Determinants of trust in banking networks," Journal of Economic Behavior & Organization, Elsevier, vol. 85(C), pages 236-248.
    3. 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.
    4. Bülbül, Dilek & Lambert, Claudia, 2012. "Credit portfolio modelling and its effect on capital requirements," Discussion Papers 11/2012, Deutsche Bundesbank.
    5. 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.
    6. 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.
    7. Bandyopadhyay, Arindam, 2010. "Understanding the Effect of Concentration Risk in the Banks’ Credit Portfolio: Indian Cases," MPRA Paper 24822, University Library of Munich, Germany.
    8. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
    9. 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.
    10. 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.
    11. Gürtler, Marc & Hibbeln, Martin & Vöhringer, Clemens, 2007. "Measuring concentration risk for regulatory purposes," Working Papers IF26V4, Technische Universität Braunschweig, Institute of Finance.
    12. 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.
    13. Duellmann, Klaus & Kick, Thomas, 2012. "Stress testing German banks against a global cost-of-capital shock," Discussion Papers 04/2012, Deutsche Bundesbank.
    14. 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.

    More about this item

    Keywords

    Credit concentration; sector concentration risk; economic capital; G18; G21; C1;

    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

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