European banks’ business models as a driver of strategic planning: one size fits all

Purpose This paper aims to verify the presence of a management model that confirms or not the one size fits all hypothesis expressed in terms of risk-return. This study will test the existence of stickiness phenomena and discuss the relevance of business model analysis integration with the risk assessment process. Design/methodology/approach The sample consists of 60 credit institutions operating in Europe for 20 years of observations. This study proposes a classification of banks’ business models (BMs) based on an agglomerative hierarchical clustering algorithm analyzing their performance according to risk and return dimensions. To confirm BM stickiness, the authors verify the tendency and frequency with which a bank migrates to other BMs after exogenous events. Findings The results show that it is impossible to define a single model that responds to the one size fits all logic, and there is a tendency to adapt the BM to exogenous factors. In this context, there is a propensity for smaller- and medium-sized institutions to change their BM more frequently than larger institutions. Practical implications Quantitative metrics seem to be only able to represent partially the intrinsic dynamics of BMs, and to include these metrics, it is necessary to resort to a holistic view of the BM. Originality/value This paper provides evidence that BMs’ stickiness indicated in the literature seems to weaken in conjunction with extraordinary events that can undermine institutions’ margins

Managing Banking Risk with the Risk Appetite Framework: a Quantitative Model for the Italian Banking System.

We analyse the structural aspects of the banking Risk Appetite Framework (RAF), providing an operational application in the light of the detailed recommendations of the banking supervisors. We develop a quantitative approach that could be used to adapt to the requirements of these regulations and that might be useful for management purposes. This approach is empirically applied to the balance sheets of the Italian banking system. Our findings show that the Italian banks are generally underexposed in terms of credit risk and market risk, so there is room for shifting the risk profiles towards higher thresholds with a view to improving the credit institutions’ profitability while keeping their RAF consistent with the regulatory bodies’ requirements. The quantitative model can be applied effectively to all banks, for different types of risk, making the necessary adjustments according to the particular features of the profile being examined

Managing Banking Risk with the Risk Appetite Framework: a Quantitative Model for the Italian Banking System.

We analyse the structural aspects of the banking Risk Appetite Framework (RAF), providing an operational application in the light of the detailed recommendations of the banking supervisors. We develop a quantitative approach that could be used to adapt to the requirements of these regulations and that might be useful for management purposes. This approach is empirically applied to the balance sheets of the Italian banking system. Our findings show that the Italian banks are generally underexposed in terms of credit risk and market risk, so there is room for shifting the risk profiles towards higher thresholds with a view to improving the credit institutions’ profitability while keeping their RAF consistent with the regulatory bodies’ requirements. The quantitative model can be applied effectively to all banks, for different types of risk, making the necessary adjustments according to the particular features of the profile being examined

Mappatura dei rischi e impatti sulla reputazione

Il lavoro in una prima parte esamina le diverse tipologie di rischi che le banche affrontano e le relazioni con il rischio di reputazione. Successivamente viene trattato il tema della reputazione in banca (in termini di antecedenti e conseguenti) e del rischio reputazional

Il rischio di mercato: evoluzione regolamentare e modelli gestionali

il lavoro si concentra sull'evoluzione regolamentare del rischio di mercato e ciò secondo le diverse prospettive di Basilea 1, 2 e 3 per poi passare alll'analisi dei modelli interni di misurazione. In proposito si esaminano dapprima i modelli parametrici e poi quelli di simulazione (storica e montecarlo) con una esemplificazione di dettagli

Il rischio di credito: evoluzione regolamentare e modelli gestionali

il lavoro presenta le caratteristiche del rischio di credito in ottica regolamentare e dei modelli interni. Dopo una rassegna delle disposizioni relative agli accordi del capitale noti come Basilea 1 , 2 e 3 si passa a una veriifica dei principali modelli interni di misurazione del rischio credito, In merito vengono offerte misurazioni secondo l'approccio Default Mode e Mark to Market Mode