Abstract Current research, especially after the financial crisis, highlights different key determinants of high risk bank profiles. The main aim of this paper is to test, through an empirical model, the impact of various determinants of bank business models on the bank risk with the purpose of enabling early identification of signals of risk and timely application of prudential measures. There are two basic business models for banks: market-oriented wholesale bank business model and client-oriented bank business model. In the wholesale model, a significant share of the assets is comprised of securities in the trade portfolio, the bank is strongly involved in the international financial markets, while on the income side of the bank profile, a large part is related to non-interest income. In the client related business model, classical banking is dominant, which is visible in the high share of loan-related assets, a larger share of self-financing and a larger share of income from interest-operational income in the total income structure of the bank. In the panel analysis of the empirical data, as an indicator of the bank risk profile, the stock market price to stock market price volatility ratio was used with the presumption that the market price and its volatility, with sufficiently liquid shares listed on public stock exchanges, is representative of bank risk. The analysis is conducted on a homogenous example of 20 European banks in the period 2002-2017. Following the econometric analysis, the conclusion is that banks in which business model wholesale characteristics are dominant are more exposed to business risk in periods of market shocks and, as such, represent a danger for the long-term stability of the financial sector.

中文翻译：

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银行风险概况和业务模型特征

摘要当前的研究，特别是在金融危机之后，强调了高风险银行状况的不同关键决定因素。本文的主要目的是通过经验模型测试银行业务模型的各种决定因素对银行风险的影响，以期能够尽早识别风险信号并及时采取审慎措施。银行有两种基本的业务模型：市场导向的批发银行业务模型和客户导向的银行业务模型。在批发模式中，很大一部分资产由贸易投资组合中的证券组成，该银行强烈参与国际金融市场，而在银行业务的收入方面，很大一部分与非利息有关。收入。在与客户相关的业务模型中，古典银行业务占主导地位，这可以从贷款相关资产的较高份额，自筹资金的较大份额以及来自利息业务收入的收入的较大份额中看出，这在银行的总收入结构中是显而易见的。在对经验数据的面板分析中，作为银行风险状况的指标，使用了股票价格与股票价格的价格波动率，并假设市场价格及其波动性是在公开股票交易所上市的流通量足够大的股票。代表银行风险。该分析是对2002-2017年期间20家欧洲银行的同质案例进行的。根据计量经济学分析，得出的结论是，在市场震荡时期，以商业模式批发为主导的银行面临的业务风险更大，因此，