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

  • Joël Petey

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 DE A. 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.

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Article provided by De Boeck Université in its journal Recherches économiques de Louvain.

Volume (Year): 70 (2004)
Issue (Month): 4 ()
Pages: 401-424

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Handle: RePEc:cai:reldbu:rel_704_401
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