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

Published online by Cambridge University Press:  17 August 2016

Joël Petey
Joël Petey*
Affiliation:
GERME, École Supérieure des Affaires, Université Lille 2
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Résumé

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 DEA. 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.

Summary

Summary

The insolvency risk of a financial institution is the result of its investment, financing and capital structure choices. This paper presents an application to French banks of a methodology first introduced by Hughes and Moon (1996). Grounding on the Almost Ideal Demand System, it allows for a joint estimation of profit and its variance. Considering risk as a unique input of the production process of profit, a mean-variance efficiency frontier is computed by DEA. Despite the fact that the risk of assets is increasing in equity, the risk of insolvency is decreasing in equity over the period. The effect of size on risk stems essentially from an increased credit risk for banks specialized on this activity.

Keywords

fonds propres bancairesrisque dêinsolabilitÈeficienceG21G32D24bank capitalinsolvency riskrisk-return eficiencyG21G32D24
Type
Research Article
Information
Recherches Économiques de Louvain/ Louvain Economic Review , Volume 70 , Issue 4 , 2004 , pp. 401 - 424
Copyright
Copyright © Université catholique de Louvain, Institut de recherches économiques et sociales 2004 

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Footnotes

*

1, place Déliot BP 381, 59020 Lille Cedex France, E-mail: Joel.Petey@univ-lille2.fr

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