Klaus Duellmann / Martin Erdelmeier / International Journal of Central Banking
Librería Samer Atenea
Librería Aciertas (Toledo)
Kálamo Books
Librería Perelló (Valencia)
Librería Elías (Asturias)
Donde los libros
Librería Kolima (Madrid)
Librería Proteo (Málaga)
In this paper we stress-test credit portfolios of twenty-eight German banks based on a Merton-type multifactor credit-risk model. The stress scenario is an economic downturn in the automobile sector. Although the percentage of loans in the automobile sector is relatively low for all banks in the sample, the expected loss conditional on the stress event increases substantially by 70-80 percent for the total portfolio. This result confirms the need to account for hidden sectoral concentration risk because the increase in expected loss is driven mainly by correlation effects with related industry sectors. Therefore, credit-risk dependencies between sectors have to be adequately captured even if the trigger event is confined to a single sector. Finally, we calculate the impact on banks’ own-funds ratios, which decrease on average from 12 percent to 11.4 percent due to the stress event, which indicates that banks overall remain well capitalized. These main results are robust against various robustness checks, namely those concerning the granularity of the credit portfolio, the level of intersector asset correlations, and a cross-sectional variation of intrasector asset correlations.This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work was reproduced from the original artifact, and remains as true to the original work as possible. Therefore, you will see the original copyright references, library stamps (as most of these works have been housed in our most important libraries around the world), and other notations in the work.This work is in the public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work.As a reproduction of a historical artifact, this work may contain missing or blurred pages, poor pictures, errant marks, etc. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.
