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L'apport de modèles quantitatifs à la supervision bancaire en Europe

  • Gunther Capelle-Blancard
  • Thierry Chauveau

[fre] Gunther Capelle-Blancard, Thierry Chauveau L'apport de modèles quantitatifs à la supervision bancaire en Europe. Dans cette étude nous proposons un indicateur avancé du risque d'insolvabilité des banques qui repose sur une analyse quantitative. Cet indicateur, de type Camels, combine six critères. Cinq d'entre eux sont estimés à l'aide de ratios comptables : la solvabilité (Capital Adequacy), la qualité des actifs détenus (Asset Quality), l'aptitude à réaliser des profits (Earnings Ability), la trésorerie (Liquidity Position) et la sensibilité au risque de marché (Sensitivity to Market Risk). Pour ce qui est du sixième critère, la qualité de gestion (Management Quality), nous retenons l'efficacité technique, obtenue par la méthode DEA (Data Envelopment Analysis). Notre indicateur avancé, fondé sur la combinaison de ces six variables, est appliqué aux banques commerciales européennes entre 1993 et 2000. Faute de disposer d'informations statistiques sur les faillites bancaires en Europe, nous avons recours à une analyse de type gestion actif-passif (ALM, Asset Liability Management) pour identifier les banques en difficulté financière et tester ainsi les performances de notre indicateur. Cette approche repose sur une modélisation stochastique des postes du bilan et s'apparente aux méthodes utilisées dans les analyses du risque de crédit. L'apport de cette étude est donc triple. Elle permet d'abord de confirmer et d'élargir l'estimation de l'efficacité technique des banques européennes. Elle offre ensuite une identification des banques en difficulté fondée sur la seule modélisation stochastique des postes du bilan. Enfin, elle propose de tester, pour la première fois sur un échantillon de banques européennes, les performances prédictives d'un indicateur avancé de faillite basé uniquement sur des données publiques. [eng] The Contribution of Quantitative Models to Bank Supervision in Europe. This article examines the potential contribution to bank supervision of a model designed to include an off-site proxy of the management quality based only on publicly available financial information. For quantifying banks' managerial quality, we use, following Barr, Seiford and Siems [1994] and Barr and Siems [1997], the concept of technical efficiency (Data Envelopment Analysis, DEA). The relevance of our early warning system depends to some extent on its accuracy in predicting which banks will have their solvency degraded. Because bank failures have been rare in Europe during the last decade, in order to assess our model we have to compute a theoretical probability of failure. In this paper we choose to identify which bank are most likely to have financial problems in future periods via an Asset Liability Management (ALM) method, which is an alternative to multivariate models such as multiple discriminant analysis or neural net- works. The method is based on corporate bond valuation models. We suppose that the dynamics for the total assets and the total liabilities can be described by geometric Brownian motions. The probability of insolvency - i.e. the probability that net worth is negative — is then estimated and analysed as the probability of default. Then, we test the ability of our off-site early warning system to predict degradation of solvency of the main European commercial banks from 1993 to 2000. We show that proxies for Capital adequacy, Asset quality, Management quality, Earnings ability, Liquidity and Sensitivity to market risk do a good job of identifying the banks that are likely to have their solvency degraded in the future : they contain useful information and are virtually cosdess to compute. Nevertheless, the model do less well in predicting degradation of solvency of banks in Europe than in United States. Thus, our model may certainly be used by the financial and banking supervision authority as an indicator of the need for prompt intervention, but should not be considered as a substitute for the current surveillance framework.

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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 19 (2004)
Issue (Month): 1 ()
Pages: 77-120

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_2004_num_19_1_1542
Note: DOI:10.3406/rfeco.2004.1542
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