Hostname: page-component-5c6d5d7d68-sv6ng Total loading time: 0 Render date: 2024-08-29T13:52:07.687Z Has data issue: false hasContentIssue false
  • English
  • Français

Les déterminants du risque d'insolvabilité dans l'industrie bancaire. Une approche en termes de frontière de production

Published online by Cambridge University Press:  17 August 2016

Joël Petey
Joël Petey*
Affiliation:
GERME, École Supérieure des Affaires, Université Lille 2
Get access

Résumé

Le risque d'insolvabilité d'une institution financière résulte de ses choix d'investissement, de financement et de capitalisation. Cet article propose une application à l'industrie bancaire française d'une méthodologie développée par Hughes et Moon (1996) permettant une estimation jointe de l'espérance de profit et de sa variance à partir d'une fonction de dépense dérivée du Système Presque Idéal de Demande. En considérant le risque comme l'input unique du processus de production du profit, on construit une frontière rendement risque de l'industrie bancaire à partir de laquelle sont calculés des scores d'efficience selon la méthode DEA. Bien que le risque de l'actif apparaisse comme une fonction croissante de la capitalisation, le risque d'insolvabilité est décroissant dans la capitalisation. L'effet de la taille se traduit essentiellement par un risque de crédit accru pour les grandes banques relativement spécialisées sur ce segment d'activité.

Summary

Summary

The insolvency risk of a financial institution is the result of its investment, financing and capital structure choices. This paper presents an application to French banks of a methodology first introduced by Hughes and Moon (1996). Grounding on the Almost Ideal Demand System, it allows for a joint estimation of profit and its variance. Considering risk as a unique input of the production process of profit, a mean-variance efficiency frontier is computed by DEA. Despite the fact that the risk of assets is increasing in equity, the risk of insolvency is decreasing in equity over the period. The effect of size on risk stems essentially from an increased credit risk for banks specialized on this activity.

Keywords

fonds propres bancairesrisque dêinsolabilitÈeficienceG21G32D24bank capitalinsolvency riskrisk-return eficiencyG21G32D24
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 70 , Issue 4 , 2004 , pp. 401 - 424
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2004 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

*

1, place Déliot BP 381, 59020 Lille Cedex France, E-mail: Joel.Petey@univ-lille2.fr

References

Références bibliographiques

Banker, R., Charnes, A. et Cooper, W.W. (1984), “Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis”, Management Science, 30, pp. 1078–1092.Google Scholar
Belsley, D., Kuh, E. et Welsch, R. (1980), Regression Diagnostics : Identifying Influential Data and Sources of Collinearity, New York, Wiley.Google Scholar
Berger, A.N. et DeYoung, R. (1997), “Problem Loans and Cost Efficiency in Commercial Banks”, Journal of Banking and Finance, 21, pp. 849–870.Google Scholar
Berger, A.N. et Humphrey, D.B. (1991), “The Dominance of Inefficiencies over Scale and Product Mix Economies in Banking”, Journal of Monetary Economics, 28, pp. 117–148.Google Scholar
Boyd, J.H. et Runkle, D.E. (1993), “Size and Performance of Banking Firms”, Journal of Monetary Economics, 31, pp. 47–67.Google Scholar
Calem, B. et Rob, R. (1999), “The Impact of Capital-Based Regulation on Bank Risk-Taking”, Journal of Financial Intermediation, 8, p.317–352.Google Scholar
Deaton, A. et Muellbauer, J. (1980), An Almost Ideal Demand System, American Economic Review, 70, pp. 312–325.Google Scholar
Demsetz, R.S., Saidenberg, M.R. et Strahan, P.E. (1998), “Banks with Something to Lose : The Disciplinary Role of Franchise Value”, FRBNY Economic Policy Review, October, pp. 1–14.Google Scholar
Demsetz, R.S. et Strahan, P.E. (1997), “Diversification, Size and Risk at Bank Holding Companies”, Journal of Money, Credit and Banking, 29, pp. 300–313.Google Scholar
De Young, R., Hughes, J.P. et Moon, C.G. (1998), “Regulatory Distress Costs and Risk-Taking at U.S. Commercial Banks”, Working Paper, 98–1, Office of the Comptroller of the Currency, Janvier.Google Scholar
Diamond, D.W. (1984), “Financial Intermediation and Delegated Monitoring”, Review of Economic Studies, 51, pp. 393–414.Google Scholar
Dietsch, M. (1996), Ç Efficience et Prise de Risque dans les Banques en France È, Revue Économique, 48, pp. 745–754.Google Scholar
Goyeau, D., Sauviat, A. et Tarazi, A. (1998), ÇTaille, Rentabilité et Risque Bancaire : Évaluation Empirique et Perspectives pour la Réglementation Prudentielle È, Revue d’Économie Politique, 108, pp. 339–361.Google Scholar
Hughes, J.P., Lang, W. Mester, L.J. et Moon, C.G. (1995), “Recovering Technologies that Account for Generalized Managerial Preferences : An Application to Non-Risk-Neutral Banks”, Working Paper, Federal Reserve Bank of Philadelphia.Google Scholar
Hughes, J.P., Lang, W. Mester, L.J. et Moon, C.G. (1996), “Efficient Banking under Interstate Branching”, Journal of Money, Credit and Banking, 28, pp. 1045–1071.Google Scholar
Hughes, J.P. et Mester, L.J. (1998), “Evidence of Scale Economies in Risk Management and Signaling”, Review of Economics and Statistics, 80, pp. 314–325.Google Scholar
Hughes, J.P. et Moon, C.G. (1996), “Measuring Bank Efficiency when Managers Trade Return for Reduced Risk”, Working Paper, Department of Economics, Rutgers University.Google Scholar
Hunter, W.C. et Timme, S.G. (1995), “Core Deposits and Physical Capital : A Reexamination of Bank Scale Economies and Efficiency with Quasi-Fixed Inputs”, Journal of Money, Credit and Banking, 27, pp. 165–185.Google Scholar
Kahane, Y. (1977), “Capital Adequacy and the Regulation of Financial Intermediaries”, Journal of Banking and Finance, 1, pp. 207–217.Google Scholar
Keeley, M.C. (1990), “Deposit Insurance, Risk and Market Power in Banking”, American Economic Review, 80, pp. 1183–1200.Google Scholar
Kim, D. et Santomero, A.M. (1988), “Risk in Banking and Capital Regulation”, Journal of Finance, 43, pp. 1219–1233.Google Scholar
Koehn, M et Santomero, A.M. (1980), “Regulation of Bank Capital and Portfolio Risk”, Journal of Finance, 35, pp. 1235–1250.Google Scholar
Kwan, S. et Eisenbeis, R.A. (1997), “Bank Risk, Capitalization and Operating Efficiency”, Journal of Financial Services Research, 12, pp. 117–131.Google Scholar
Liang, J.N. et Rhoades, S.A. (1991), “Asset Diversification, Firm Risk and Risk-Based Capital Requirements in Banking”, Review of Industrial Organization, 6, pp. 49–59.Google Scholar
McAllister, P.H. et McManus, D. (1993), “Resolving the Scale Efficiency Puzzle in Banking”, Journal of Banking and Finance, 17, pp. 389–405.Google Scholar
Merton, R. (1972), “An Analytic Derivation of the Efficient Frontier”, Journal of Financial and Quantitative Analysis, 7, pp. 1851–1872.Google Scholar
Milne, A. et Whalley, A.E. (1998), “Bank Capital and Risk Taking”, Working Paper, Bank of England.Google Scholar
Noulas, A.G., Ray, S.S. et Miller, S.M. (1990), “Returns to Scale and Input Substitution for Large U.S. Banks”, Journal of Money, Credit and Banking, 22, pp. 94–108.Google Scholar
Ramakrishnan, R et Thakor, A.V. (1986), “Information Reliability and a Theory of Financial Intermediation”, Review of Economic Studies, 51, pp. 415–432.Google Scholar
Saunders, A., Strock, E. et Travlos, N.G. (1990), “Ownership Structure, Deregulation and Bank Risk Taking”, Journal of Finance, 45, pp. 643–654.Google Scholar
Schrieves, R.E. et Dahl, D. (1992), “The Relationship between Risk and Capital in Commercial Banks”, Journal of Banking and Finance, 16, pp. 439–457.Google Scholar