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Da che dipende il rischio delle banche? Il beta fondamentale delle banche europee (What does banks' riskiness depend on? The fundamental beta of Europe's banks)

Author

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  • Daniela Venanzi

    (Università degli Studi Roma Tre)

Abstract

Da quali fattori dipende il rischio delle banche europee? Il tema è di grande rilevanza e attualità , sia per i regolatori/vigilanti che per gli operatori dei mercati finanziari. Questo studio, seguendo l?approccio di Beaver-Kettler-Scholes (1970), stima empiricamente il beta fondamentale di oltre 100 banche commerciali europee nel periodo 2006-2015. L'evidenza empirica che emerge dimostra che la dimensione, la diversificazione, l'incidenza dei derivati e il TEXAS ratio aumentano il rischio sistematico delle banche, e che il sistema di ponderazione dei rischi degli attivi bancari, basato sulle regole di Basilea, non sembra in grado di cogliere i fattori di rischio bancario, risultando dallo studio un suo impatto negativo sul beta. Riteniamo che questa evidenza indebolisca il punto di vista dominante che vede nelle fusioni/acquisizioni la panacea per le banche europee. Which factors determine the systematic risk of European banks? The issue is very crucial for regulators and decision-makers in financial markets. This study follows the Beaver-Kettler-Scholes (1970)'s approach and empirically estimates the fundamental beta of a sample of more than 100 European commercial banks in 2006-2015 period. The emerging findings show that size, diversification, derivatives, and TEXAS ratio increase the systematic risk of banks and that the risk weighting of assets, based on the Basel rules, seems to not correctly catch the bank risks, influencing negatively their beta. We believe this evidence weakens the dominant belief that M&As are the panacea for the European banks.

Suggested Citation

  • Daniela Venanzi, 2019. "Da che dipende il rischio delle banche? Il beta fondamentale delle banche europee (What does banks' riskiness depend on? The fundamental beta of Europe's banks)," Moneta e Credito, Economia civile, vol. 72(286), pages 105-131.
    • Handle: RePEc:psl:moneta:2019:23
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    References listed on IDEAS

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    More about this item

    Keywords

    systemic risk; fundamental beta; European banks;
    All these keywords.

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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