Lump risk

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In banking, cluster risks are the cumulative accumulation of default risks in a loan portfolio with similarly high or identically high correlation values for borrowers , foreign currencies , rating classes , sectors or regions , whereby the risk-bearing capacity of a credit institution can be reached or exceeded.

The term cluster risks are also used to describe regions or economies that result from their dependence on an industry cluster.

Risk diversification

All natural persons or companies and investors , not just credit institutions, must observe the principle of risk diversification. The general aim of risk diversification is to diversify investment or asset risks as much as possible , i.e. to distribute the total amount over different amounts, terms, forms and debtors. In this way, excessive individual risks are avoided. So must investment companies and investment companies means only on the principle of risk diversification invest (so u. A. § 110 , § 214 , § 243 KAGB ).


In terms of risk diversification, a distinction is made between the concentration in loans to individual borrowers , which is also known as address concentration or cluster risk in the narrower sense, and the uneven distribution across industries or geographical regions ( sector concentration ). Risks from the concentration of receivables from companies associated with one another through business relationships constitute a further risk category . This creates the risk of contagion effects if one of these borrowers defaults.

  • The concentration of addresses is characterized by the fact that the entire credit volume of a bank has a one-sided distribution to only a few borrowers. Then the granularity is comparatively low and results in a correspondingly high risk of failure.
  • Foreign currencies : The concentration of foreign currency loans on a few foreign currencies increases the so-called value risk (exchange rate risk and parity risk ) for a lending bank , which can have a negative effect on the payment of interest and loan repayments .
  • Rating classes : If credits accumulate within a certain rating class, increased credit risks can arise in the event of a rating downgrade, especially if this downgrade is due to the economy.
  • Sectors : The sectoral concentration risk is a risk that affects all companies in the same economic sector. The risk is lower if a large number of loans are granted in different industries, with the proportion of each individual loan in the total loan volume being negligibly small and vice versa.
  • Regions : the geographic risk affects all companies in a given region. If there is no particular focus on the distribution in regions, there is a high level of granularity and vice versa. The region depends on the domicile of the borrower and extends from the location of the domicile of the lending bank to the country risk .
  • Rating class : If loans to borrowers in a bad rating class pile up , there is a risk of an excessive credit risk for several borrowers when migrating to even worse classes.

Sectoral and regional concentration risks can be described as a dependency linked to an external factor (e.g. a certain goods market or a certain region), which affects all companies active in this sector or region equally. In order to avoid such concentrations of risk, there are regulations for banks which are intended to limit or prevent cluster risks. In particular, the German Banking Act (KWG) and the Capital Adequacy Ordinance (CRR) provide for extensive credit allocation quotas. In the Banking Act there are provisions on the limitation of loans to organs (loans to borrowers connected to the credit institution) and the reporting obligations for loans in the millions, while the Capital Adequacy Ordinance stipulates more precise limits for individual types of borrower.

Failure probabilities

It is beyond chance to ask why several borrowers can default at a bank within a short period of time. There are two reasons for banking operations here , on the one hand the systematic (general) credit risk as a change in the value of a loan portfolio as a result of changed economic conditions, verified by fundamental economic data ( e.g. interest rates , unemployment , sales crisis , recession ). On the other hand, a piecemeal (special or idiosyncratic) credit risk at individual borrowers entering excellent credit ratings related changes ( debtor - or issuer credit rating) to the cause. The systematic credit risk cannot be eliminated even with optimal diversification.


The cluster risk is not the sum of all individual risks, but the overall risk from the specific interaction of the individual loans with one another. This interaction between the individual risks is measured using the statistical size of the correlation . Default correlations are determined according to the degree of real economic dependence. The correlation describes a linear relationship between the default rates of two or more borrowers. If there is a positive correlation, the default rates of the borrowers deviate in the same way from their expected value; if there is a negative correlation, the default rates behave in the opposite way. With a sufficiently high positive correlation, the cluster risk worsens and vice versa.

Similar or identical positive correlation values ​​lead to a cumulative accumulation of risks. The members of groups , the borrower unit ( Section 19 (2) sentences 1–5 KWG) and the group of affiliated customers (Article 4 (1) no. 39b CRR) show a typical high positive correlation . They all have in common that several borrowers are linked either legally (group) or economically (borrower unit and group of connected customers). If a borrower of these groups experiences financial difficulties, there is a high probability that other borrowers from the same group, the same borrower unit and the same group of connected customers will also experience financing or repayment difficulties. One-sided dependencies are sufficient when forming risk groups. “Dependency” in this context means that a source of financing cannot be easily replaced and that in this case customers cannot overcome their financial dependency on the company concerned by accepting specific disadvantages or higher costs. Economic dependency is an idiosyncratic risk that represents an additional risk to sectoral and geographic risk. An idiosyncratic risk exists when, in a bilateral relationship, the financial difficulties of a company are transferred to another company that would otherwise not be affected by this relationship . The group of connected customers is to be understood as a borrower unit or a risk unit, depending on the context.

Large exposures

If a bank takes on such risks, for example by granting large loans to an individual borrower or a group of affiliated customers , there is a risk that the bank as a whole will run into difficulties if this individual borrower defaults. Thereafter there is a two-stage threshold. First of all, according to Art. 392 CRR , the Bundesbank must be notified of loans to a borrower or a group of affiliated customers that reach or exceed 10% of the credit institution's liable equity . The absolute upper limit for individual large exposures is 25% of the liable equity. These are quantitative limitation standards that are monitored by the Bundesbank.

Borrower Unit

Several legally independent borrowers must be treated internally as a single borrower, so their loans are to be grouped together. This includes several borrowers from a group , borrower units ( Section 19 (2) KWG) and the group of connected customers .

According to Art. 4 Para. 1 No. 39 Letter b CRR, a group of connected customers (“risk group”) must be formed if economic difficulties of one company lead to economic difficulties for another company (so-called contagion effect ). Regarding the scope of the risk group, the European banking supervisory authority has regulations in the CEBS ( Guidelines on the implementation of the revised large exposures regime ), in Germany in BaFin circular 8/2011 and in Austria in the directive on large loan registration of September 2011 . According to the latter, a risk group is usually assumed if someone provides goods or services to or receives from another company that exceed 30% of their own total output or has receivables or liabilities towards the other company that exceed 20% of their own balance sheet total , or has made loss coverage commitments , liabilities , guarantees , letters of comfort or similar letters of support to the other company in the amount of more than 30% of its own equity .

Industry / region

Cluster risks can, however, also arise from the fact that a bank grants loans primarily to debtors in a specific industry , region or to specific countries . If the industry, region or state gets into difficulties due to the overall economic situation, the lending bank is particularly affected. Here too, the legislature stipulates that banks must limit their various types of risk. In contrast to the maximum credit limits, however, there are no statutory limits, but are often taken into account within the institution (industry and country limits). Specialized banks ( mortgage banks , private building societies ), house banks ( VW Bank or BMW Bank ) and branch banks ( Bank für Sozialwirtschaft or Pax-Bank ) have a particularly high cluster risk .

Country risk concentration

To country risk concentrations early on and prudentially monitor had banks January 1, 2018 also due to the country risk Regulation quarterly in accordance with § 25 para. 3 KWG reports submitted to international lending. This affected credit institutions where the credit volume to borrowers based outside the European Economic Area , Switzerland, the USA, Canada, Japan, Australia and New Zealand exceeds a total of 10 million euros.


Granularity is a complementary term to cluster risk . As part of the granularity principle, banks try to spread the distribution of their loan portfolios much broader across many borrowers. A granularity of between 2 and 5% is aimed for, that is, a borrower / industry / region accounts for a maximum of 2–5% of the liable equity of a credit institution. If a single borrower becomes insolvent, the granularity means that no major impact on the equity of a credit institution is to be expected.

Avoidance or reduction of concentration risks

These concentration risks from an uneven distribution of business partners in credit or other business relationships and / or from the formation of sectoral or geographical business focuses can generate losses that are so great that the risk-bearing capacity of a credit institution can be jeopardized. In individual sectors or regions, positive correlations can arise from the fact that a borrower belongs to a sector or region, so that particular priorities in the granting of loans involve a high risk of default.

In the case of cluster risk, the aim of a bank's risk diversification must be to distribute the total credit volume of a portfolio across as many foreign currencies, rating classes, sectors and regions as possible and to avoid mutual dependencies between individual borrowers.

Instruments for this are

Insurance business

The term is also used in the same way in insurance and asset management business or in portfolio management . Here the total assets or the total assets (TA) form the reference value. Cluster risks in the wealth management business are not as strictly regulated. However, in Switzerland, for example, the world's largest offshore asset management market, there is an increasing number of case law. Accordingly, it can be roughly assumed that anything over 10% TA (Total Asset) is a cluster risk.

In the insurance business, the term “risk accumulation” is used analogously. The risk-reducing law of large numbers only becomes effective if the insured risks are independent of one another with regard to the occurrence of damage. Insurance companies therefore have an accumulation of risk if z. For example, a large number of buildings in a city can be insured against damage caused by earthquakes. For this reason, the insured objects must not be threatened by the same events (such as natural disasters). In reinsurance , an accumulation risk arises when several events occur at the same time, such as a serious natural disaster and a stock market crash .


With regard to the German (and occasionally also with reference to the Czech, Slovak and Hungarian) national economy, one speaks of a cluster risk that results from the dependence on the Central European cluster of the auto industry and its suppliers. Since 2018, the latter has been struggling with problems resulting from the orientation of large manufacturers to the premium class market segment and from the late entry into electromobility.

Individual evidence

  1. Risk of lumps . "Zeit online", article from May 24, 2006.
  2. Bernd Rudolph / Bernd Hofmann / Albert Schaber / Klaus Schäfer, Credit Risk Transfer , 2012, p. 31.
  3. Hanspeter Gondring / Edgar Zoller / Josef Dinauer, Real Estate Investment Banking , 2013, p. 24.
  4. Hanspeter Gondring / Edgar Zoller / Josef Dinauer, Real Estate Investment Banking , 2013, p. 27.
  5. Thomas Söhlke, Regulatory Recording of Credit Risk , 2002, p. 18 FN 3
  6. BT-Drucksache 17/1720 of May 17, 2010, draft of a law for the implementation of the amended banking directive and the amended capital adequacy directive , p. 27
  7. Implementation of the CEBS large exposure guidelines of December 11, 2009 as well as further interpretative decisions on large exposure regulations , BaFin circular 8/2011 (BA) of July 15, 2011.
  8. Hans E. Büschgen, Bankbetriebslehre: Banking transactions and bank management , 2013, p. 81.
  9. The latter, however, is organized as a cooperative
  10. Federal Law Gazette 2017 I p. 4024, 4025
  11. Deutsche Bundesbank, Monthly Report June 2006 , p. 36
  12. Henner Schierenbeck, Earnings-Oriented Bank Management , Volume 2, 2001, p. 304.
  13. Bert Rürup: "The automotive industry could become a cluster risk for the German economy" , in:, April 12, 2019.