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

  • Joël PETEY

    (GERME, Ecole Supérieure des Affaires, Université Lille 2)

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    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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    File URL: http://sites.uclouvain.be/econ/DP/REL/2004041.pdf
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    Paper provided by Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) in its series Discussion Papers (REL - Recherches Economiques de Louvain) with number 2004041.

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    Length: 24
    Date of creation: 01 Dec 2004
    Date of revision:
    Handle: RePEc:ctl:louvre:2004041
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    1. Michel Dietsch, 1996. "Efficience et prise de risque dans les banques en France," Revue Économique, Programme National Persée, vol. 47(3), pages 745-754.
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    14. Calem, Paul & Rob, Rafael, 1999. "The Impact of Capital-Based Regulation on Bank Risk-Taking," Journal of Financial Intermediation, Elsevier, vol. 8(4), pages 317-352, October.
    15. Demsetz, Rebecca S & Strahan, Philip E, 1997. "Diversification, Size, and Risk at Bank Holding Companies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(3), pages 300-313, August.
    16. Kim, Daesik & Santomero, Anthony M, 1988. " Risk in Banking and Capital Regulation," Journal of Finance, American Finance Association, vol. 43(5), pages 1219-33, December.
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