Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - 2010
) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if … concentrations on the credit risk of the portfolio. Our empirical results suggest that specialization benefits overcompensate the … increase of portfolio risk due to the higher sectoral concentration. If specialization is instead measured by distance measures …