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Do specialization benefits outweigh concentration risks in credit portfolios of German banks?

Böve, Rolf; Düllmann, Klaus; Pfingsten, Andreas - Deutsche Bundesbank - 2010

Lending specialization on certain industry sectors can have opposing effects on monitoring (including screening) abilities and on the sectoral concentration risk of a credit portfolio. In this paper, we examine in the first part if monitoring abilities of German cooperative banks and savings...

Persistent link: https://www.econbiz.de/10008764627

Does non-interest income make banks more risky? Retail- versus investment-oriented banks

Köhler, Matthias - Deutsche Bundesbank - 2013

In this paper, we analyze the impact of banks' non-interest income share on risk in the German banking sector for the period between 2002 and 2010. Using linear and quantile regression estimators, we find that the impact of non-interest income on risk significantly differs depending on banks'...

Persistent link: https://www.econbiz.de/10010984719

Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks

Behr, Andreas; Kamp, Andreas; Memmel, Christoph; … - Deutsche Bundesbank - 2007

specialization. We use data from the Bundesbank's quarterly borrowers statistic to determine the degree of diversification in the …

Persistent link: https://www.econbiz.de/10005058999

Firm-level evidence on international stock market comovement

Brooks, Robin; Del Negro, Marco - Deutsche Bundesbank - 2005

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10005059019

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Persistent link: https://www.econbiz.de/10005082747

Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios

von Westernhagen, Natalja; Porath, Daniel; Hayden, Evelyn - Deutsche Bundesbank - 2006

Should banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore … banks? profitability (ROA) and their portfolio diversification across different industries, broader economic sectors and … performance benefits associated with diversification since each type of diversification tends to reduce the banks? returns …

Persistent link: https://www.econbiz.de/10005082777

Do banks diversify loan portfolios? A tentative answer based on individual bank loan portfolios

Kamp, Andreas; Pfingsten, Andreas; Porath, Daniel - Deutsche Bundesbank - 2005

this end we measure diversification for all German banks in the period from 1993 to 2002. As measures we use a broad set of … naive diversification across all industries or, alternatively, the economy's industry structure. With this framework our … in this context innovative group of distance measures. We find that different statistical measures of diversification may …

Persistent link: https://www.econbiz.de/10005082787