Arbeitspapier
The common drivers of default risk
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.
- ISBN
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978-3-86558-876-0
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 36/2012
- Classification
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Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
- Subject
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credit risk
systematic risk
maturity
stress tests
- Event
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Geistige Schöpfung
- (who)
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Memmel, Christoph
Gündüz, Yalin
Raupach, Peter
- Event
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Veröffentlichung
- (who)
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Deutsche Bundesbank
- (where)
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Frankfurt a. M.
- (when)
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2012
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Memmel, Christoph
- Gündüz, Yalin
- Raupach, Peter
- Deutsche Bundesbank
Time of origin
- 2012
Other Objects (12)
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Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach
Sovereign default swap market efficiency and country risk in the eurozone
Updating the option implied probability of default methodology
Recent developments in quantitative models of sovereign default
The pricing of correlated default risk: evidence from the credit derivatives market
Optimal sovereign default
Estimating probabilities of default for German savings banks and credit cooperatives
Dynamics of probabilities of default
Market conditions, default risk and credit spreads
The common drivers of default risk
A value at risk analysis of credit default swaps
Modelling dynamic portfolio risk using risk drivers of elliptical processes
Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach
Sovereign default swap market efficiency and country risk in the eurozone
Updating the option implied probability of default methodology
Recent developments in quantitative models of sovereign default
The pricing of correlated default risk: evidence from the credit derivatives market
Optimal sovereign default
Estimating probabilities of default for German savings banks and credit cooperatives
Dynamics of probabilities of default
Market conditions, default risk and credit spreads
The common drivers of default risk
A value at risk analysis of credit default swaps
Modelling dynamic portfolio risk using risk drivers of elliptical processes
Spillover effects of credit default risk in the euro area and the effects on the euro: A GVAR approach
Sovereign default swap market efficiency and country risk in the eurozone
Updating the option implied probability of default methodology
Recent developments in quantitative models of sovereign default
The pricing of correlated default risk: evidence from the credit derivatives market
Optimal sovereign default
Estimating probabilities of default for German savings banks and credit cooperatives