کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1000033 1481535 2015 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Modelling and measuring business risk and the resiliency of retail banks
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد، اقتصادسنجی و مالیه (عمومی)
پیش نمایش صفحه اول مقاله
Modelling and measuring business risk and the resiliency of retail banks
چکیده انگلیسی


• Measuring retail banks’ business risk by using efficiency frontier methodology.
• Shifts in the efficiency frontier induced by adverse shocks to banks’ volumes as a measure of business risk.
• Estimation of business risk in a unique sample of French retail banks over the 1993–2011 period.
• Demonstration of the resiliency of the retail banks’ business model business model in crisis.

The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model. On average, retail banks suffered less than other financial institutions from unexpected market changes. This paper proposes a new methodology to measure retail banks’ business risk, which is defined as the risk of adverse and unexpected changes in banks’ profits coming from sudden changes in the banks’ activities. This methodology is based on the efficiency frontier methodology, and, more specifically, on the duality property between the directional distance function and the profit function. Using the distance function to compute banks’ profitability, we take the distance to the frontier of best practices as a measure of profit inefficiency, i.e. of unexpected losses related to underperformance. In this approach, shifts in the efficiency frontier induced by adverse shocks to banks’ volumes serve as a measure of business risk. This measure of profit volatility allows a measurement to be made of the impact of volume changes on banks’ profits. This method is applied to a database containing half yearly regulatory accounting reports over the 1993–2011 period for a sample of quite all French banks running a retail banking business model. Our results verify a low level of business risk in retail banking, thus confirming the resiliency of the retail banks’ business model.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Stability - Volume 16, February 2015, Pages 173–182
نویسندگان
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