Risk-return efficiency and risk determinants of the European banks

Nurboja, Bashkim (avtor), Košak, Marko (avtor)

This study examines risk-return efficiency frontier and risk determinants for 36 banking systems of the European countries. The banks of European developed countries appeared more efficient than the banks of the transition and South East European (SEE) countries. In contrast to other studies, risk was measured as deviation from expected return that we derived through a utility maximization model. We found that volatility of return on assets (ROA) and return on equity (ROE) affects risk positively. In addition, we found that the banking systems of transition countries respond less to changes in volatility of ROA and ROE than the banking systems of European developed countries. Moreover, our robustness check model confirmed that the risk measure that was used can be explained by conventional risk proxies such us Z-score and equity ratio.

• Jezik: Angleški jezik
• Ključne besede: banking management, emerging markets, risk management, Europe, banking efficiency, risk, European countries
• Vrsta gradiva: Članek v reviji
• Tipologija: 1.01 - Izvirni znanstveni članek
• Organizacija: EF - Ekonomska fakulteta
• Status publikacije: Objavljeno
• Različica publikacije: Objavljena publikacija
• Leto izida: 2025
• Št. strani: Str. 129-148
• Številčenje: Vol. 20, iss. 1
• PID: 20.500.12556/RUL-173584
• UDK: 336.71
• ISSN pri članku: 2233-1999
• DOI: 10.2478/jeb-2025-0010
• COBISS.SI-ID: 236365315
• Datum objave v RUL: 18.09.2025

Gradivo je del revije

• Naslov: South East European journal of economics and business
• Skrajšan naslov: South east Eur. j. econ. bus.
• Založnik: Sciendo
• ISSN: 2233-1999
• COBISS.SI-ID: 519558681

Licence

• Licenca: CC BY-NC-ND 4.0, Creative Commons Priznanje avtorstva-Nekomercialno-Brez predelav 4.0 Mednarodna
• Povezava: http://creativecommons.org/licenses/by-nc-nd/4.0/deed.sl
• Opis: Najbolj omejujoča licenca Creative Commons. Uporabniki lahko prenesejo in delijo delo v nekomercialne namene in ga ne smejo uporabiti za nobene druge namene.

Sekundarni jezik

• Jezik: Slovenski jezik
• Ključne besede: bančno poslovanje, razvijajoči se trgi, obvladovanje tveganj, Evropa