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The common drivers of default risk

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  • Memmel, Christoph
  • Gündüz, Yalin
  • Raupach, Peter

Abstract

Using a unique data set on German banks' loans to the German real economy, we investigate banks' credit risk. This data set includes the volume of loans per bank and industry as well as the corresponding write-downs. Our empirical study for the period 2003-2011 yields the following results: (i) Beyond the nationwide credit loss rate, industry composition, and regional factors, the loans' maturity structure is found to drive the bank-wide loss rates in the credit portfolio. (ii) The nationwide loss rate has the most 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 percentage is less than eight percent.

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  • Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2012. "The common drivers of default risk," Discussion Papers 36/2012, Deutsche Bundesbank.
    • Handle: RePEc:zbw:bubdps:362012
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    8. Schober, Dominik & Etzel, Tobias & Falter, Alexander & Frankovic, Ivan & Gross, Christian & Kablau, Anke & Lauscher, Pierre & Ohls, Jana & Strobel, Lena & Wilke, Hannes, 2021. "Sensitivitätsanalyse klimabezogener Transitionsrisiken des deutschen Finanzsektors [Sensitivity analysis of climate-related transition risks in the German financial sector]," Technical Papers 13/2021, Deutsche Bundesbank.
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    More about this item

    Keywords

    credit risk; systematic risk; maturity; stress tests;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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