Bank Risk During the Financial Crisis: Do Business Models Matter?
By Yener Altunbaş, Simone Manganelli, David Marqués-Ibáñez. Social Science Research Network, 2011
270 citations recorded by the source corpus.
We exploit the 2007-2009 financial crisis to analyze how risk relates to bank business models. Institutions with higher risk exposure had less capital, larger size, greater reliance on short-term market funding, and aggressive credit growth. Business models related to significantly reduced bank risk were characterized by a strong deposit base and greater income diversification. The effect of business models is non-linear: it has a different impact on riskier banks. Finally, it is difficult to establish in real time whether greater stock market capitalization involves real value creation or the accumulation of latent risk.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/8e5ad3c1c8995009f233ce765693d9ecbdedb366
How researchers see this paper
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In Finance
- Frederik Mergaerts
- Rudi Vander Vennet
- Antonio Trujillo-Ponce
- C. Cardone-Riportella
- Laura Baselga-Pascual
- G. Schepens
- Dinesh Gajurel
- Mardi Dungey
Citations in the corpus
- Business models and bank performance: a long-term perspective (2016, methodology): “As an alternative to classification, the banking literature (Altunbas et al., 2011; DemirgüçKunt and Huizinga, 2010) suggests an approach that directly relates individual business model characteristics to performance.”
- Bank/Sovereign Risk Spillovers in the European Debt Crisis (2012, background): “Altunbas, Manganelli, and Marques-Ibanez (2011) and Schepens and Vander Vennet (2009) report that banks with a relatively high proportion of wholesale funding exhibit signi cantly higher systematic risk, measured by the market beta.”
- Factors influencing bank risk in Europe: Evidence from the financial crisis (2015, methodology): “3 As a complementary indicator we use the Z-score, which has also been used frequently to analyze the determinants of bank risk in the recent literature (Laeven and Levine, 2009, Demirgüc-Kunt and Huizinga, 2010, Altunbas et al., 2011).”