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Risk exposures of European cooperative banks: a comparative analysis

Author

Listed:
  • Davide Salvatore Mare

    (The University of Edinburgh
    The World Bank)

  • Dieter Gramlich

    (Baden-Wuerttemberg Cooperative State University (DHBW) Heidenheim)

Abstract

This study sheds light on risk exposures of cooperative banks in Austria, Germany and Italy. We investigate how major risk elements of banks in these countries have evolved over time, across countries and institutions. Cooperative banks’ exposure to risk is analyzed looking at aggregate risk categories. In detail, we address the questions of (a) how single risk categories can be assessed in a consistent way, (b) how the different risk categories behaved over time, (c) what factors drive the diverse risks and (d) if there are similarities of risk characteristics for specific clusters of cooperative banks. We find that credit, interest rate and residual risk have a high degree of commonality. Liquidity risk is somehow dissociated from the other categories. Nevertheless, the risk behavior appears to vary over time and for different countries. This feature is relevant for the prudent management of cooperative banks and for the assessment of systemic financial risk.

Suggested Citation

  • Davide Salvatore Mare & Dieter Gramlich, 2021. "Risk exposures of European cooperative banks: a comparative analysis," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 1-23, January.
    • Handle: RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00884-y
    DOI: 10.1007/s11156-020-00884-y
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    More about this item

    Keywords

    Cooperative banks; Risk management; Credit risk; Liquidity risk; Residual risk; Interest rate risk;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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