The Common Drivers of Default Risk

36 Pages Posted: 21 Jun 2016

See all articles by Christoph Memmel

Christoph Memmel

Deutsche Bundesbank

Yalin Gündüz

Deutsche Bundesbank

Peter Raupach

Deutsche Bundesbank - Research Department

Multiple version iconThere are 2 versions of this paper

Date Written: 2012

Abstract

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.

Keywords: credit risk, systematic risk, maturity, stress tests

JEL Classification: G21

Suggested Citation

Memmel, Christoph and Gündüz, Yalin and Raupach, Peter, The Common Drivers of Default Risk (2012). Bundesbank Discussion Paper No. 36/2012. Available at SSRN: https://ssrn.com/abstract=2796892

Christoph Memmel (Contact Author)

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Yalin Gündüz

Deutsche Bundesbank ( email )

Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany

Peter Raupach

Deutsche Bundesbank - Research Department ( email )

Wilhelm-Epstein-Str. 14
Frankfurt, 60431
Germany
+49 69 9566 8536 (Phone)

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