Arbeitspapier
Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank's quarterly borrowers statistic to determine the degree of diversification in the banks' loan portfolios and combine this data with the banks' balance sheets and audit reports. The unique database comprises data from all German banks during the period from 1993 to 2003. Our main results can be summarized in three statements: i) Specialized banks have a slightly higher return than diversified banks. ii) Specialized banks have lower relative loan loss provisions and lower shares of non-performing loans, iii) However, the standard deviations of the loan loss provision ratio and the non-performing loan ratio are lower for diversified banks.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper Series 2 ; No. 2007,05
- Klassifikation
-
Wirtschaft
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Index Numbers and Aggregation; Leading indicators
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Portfolio Choice; Investment Decisions
- Thema
-
bank lending
loan portfolio
portfolio theory
diversification
riskreturn analysis
Kreditgeschäft
Portfolio-Management
Kreditwürdigkeit
Gewinn
Bankrisiko
Schätzung
Deutschland
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Behr, Andreas
Kamp, Andreas
Memmel, Christoph
Pfingsten, Andreas
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Behr, Andreas
- Kamp, Andreas
- Memmel, Christoph
- Pfingsten, Andreas
- Deutsche Bundesbank
Entstanden
- 2007
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