Sectoral diversification of credit portfolio is one of the most important mechanisms for credit risk limiting. Thus, the authors made an attempt to evaluate the sectoral structure of Polish banks' credit portfolios. Based on the results of the evaluation of economic and financial standing of manufacturing sectors, the authors constructed a theoretical credit portfolio reflecting sectoral breakdown. Then, they used it as a benchmark for the actual credit portfolio consisting of total exposure of all banks to individual sectors. The results allowed the authors to draw some conclusions about high level of similarity of structures of the compared portfolios. The presented algorithms of credit portfolio verification may be employed in the process of credit risk monitoring at the level of particular banks and the whole economy.

Keywords: credit portfolio, diversification, standing of sectors, credit limits, similarity of structures
JEL: C49, G11, G21

  Arkadiusz Kijek, Tomasz Kijek - Sectoral Concentration as an Element of Credit Portfolio Risk Management: The Case of Polish Banks - Prospal for Methods of Analysis - plik pdf; (??? KB)