المستودع الأكاديمي جامعة المدينة

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

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dc.creator Behr, Andreas
dc.creator Kamp, Andreas
dc.creator Memmel, Christoph
dc.creator Pfingsten, Andreas
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:43Z
dc.date.available 2013-10-16T07:06:43Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19764
dc.identifier ppn:527426016
dc.identifier RePEc:zbw:bubdp2:5576
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19764
dc.description 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 combine this data with the banks' balance sheets and audit reports. The unique database comprises data from all German banks during the period from 1993 to 2003. Our main results can be summarized in three statements: i) Specialized banks have a slightly higher return than diversified banks. ii) Specialized banks have lower relative loan loss provisions and lower shares of non-performing loans, iii) However, the standard deviations of the loan loss provision ratio and the non-performing loan ratio are lower for diversified banks.
dc.language eng
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2007,05
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G21
dc.subject C43
dc.subject C23
dc.subject G11
dc.subject ddc:330
dc.subject bank lending
dc.subject loan portfolio
dc.subject portfolio theory
dc.subject diversification
dc.subject riskreturn analysis
dc.subject Kreditgeschäft
dc.subject Portfolio-Management
dc.subject Kreditwürdigkeit
dc.subject Gewinn
dc.subject Bankrisiko
dc.subject Schätzung
dc.subject Deutschland
dc.title Diversification and the banks' risk-return-characteristics: evidence from loan portfolios of German banks
dc.type doc-type:workingPaper
dc.coverage 1993-2003


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