Banks’ loan charge-offs and macro-level risk

Diversification and the banks’ risk-return-characteristics – evidence from loan portfolios of German banks

Banks face a tradeoff between diversifying and focusing their loan portfolio. In this paper we carry out an empirical study for the German market to shed light on the question whether or not the benefits of risk sharing outweigh those of specialization. We use data from the Bundesbank’s quarterly borrowers statistic to determine the degree of diversification in the banks’ loan portfolios and co...

Loan Portfolio Diversification, Market Structure and Financial Stability of Banks

 The purpose of this study is to investigate the effect of bank loan portfolio diversification and market structure on the financial stability of banks in the countrychr('39')s capital market. In order to achieve the above goal, the financial data of 17 banks have been used as unbalanced panels in the period from 2005 to 2018. In this study, data analysis was performed using fixed effects model...

Macro Stress and Worst Case Analysis of Loan Portfolios

We introduce the technique of worst case search to macro stress testing. Among the macroeconomic scenarios satisfying some plausibility constraint we determine the worst case scenario which causes the most harmful loss in loan portfolios. This method has three advantages over traditional macro stress testing: First, it ensures that no harmful scenarios are missed and therefore prevents a false ...

Discussion of “ Large Banks , Loan Rate Markup , and Monetary Policy ” ∗

Cuciniello and Signoretti (this issue, hereafter CS) provide a New Keynesian dynamic stochastic general equilibrium (NKDSGE) model with imperfect competition in the banking industry and collateral-constrained borrowers to address some important questions. How much does banking industry market structure amplify business cycles? How does strategic interaction between big banks and the central ban...

Federal Home Loan Bank Lending to Community Banks : Are Targeted