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Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common risk factors, we separate the bank-specific...
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The paper focuses on the interaction between the solvency probability of a banking firm and the diversification … achieve a confidence level for solvency, we demonstrate that diversification reduces the amount of equity. Notably, the VaR …
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