Efficiency, endogenous and exogenous credit risk in the banking systems of the Euro area

José Manuel Pastor Monsálvez · Lorenzo Serrano Martínez

52 citations0/0 files storedApplied Financial Economics

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Banking stability, regulation, efficiency Efficiency Analysis Using DEA Credit Risk and Financial Regulations

Abstract

The implantation of the Euro in 11 of the EU states has driven the big banks to expand their presence in other European countries, which may have negative consequences on their credit risk in view of the disadvantages involved in entering new markets. The aim of this study is to analyse the efficiency and the credit risk of the banks of the most important countries of the Euro area, using a one-stage parametric stochastic procedure that allows one to identify whether the behaviour towards risk of the banks analysed was more cautious or more reckless during the period analysed. The results indicate that adjustments for risk are important in the case of profit efficiency but not in the case of cost efficiency.

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References

1997Efficiency of financial institutions: International survey and directions for future research 1997Inside the black box: What explains differences in the efficiencies of financial institutions?1997Problem loans and cost efficiency in commercial banks 1993The measurement of productive efficiency : techniques and applications 1991The dominance of inefficiencies over scale and product mix economies in banking 1998Consistency Conditions for Regulatory Analysis of Financial Institutions: A Comparison of Frontier Efficiency Methods 2000Globalization of Financial Institutions: Evidence from Cross-Border Banking Performance 1993Bank efficiency derived from the profit function

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