Davide S. Mare is a Research Economist at the World Bank's Development Research Group leading the update of the World Bank - Bank Regulation and Supervision survey. His main research interests lie in banking focusing on bankruptcy prediction, credit risk, competition and efficiency. Prior to joining the World Bank, Davide was a Lecturer (Assistant Professor) in Business Economics at the University of Edinburgh Business School and a financial consultant for large European banks. Davide is an expert in the assessment of the individual bank risk of default and in applied financial valuation.
Dieter Gramlich is professor at Baden-Wuerttemberg Cooperative State University, head of banking department and a researcher interested in Systemic Financial Risk-Return Management, Integrated Financial Risk-Return Management and Sutainable Finance.
This study sheds light on risk exposures of cooperative banks in Austria, Germany and Italy. We investigate how major risk elements of banks in these countries have evolved over time, across countries and institutions. Cooperative banks’ exposure to risk is analyzed looking at aggregate risk categories. In detail, we address the questions of (a) how single risk categories can be assessed in a consistent way, (b) how the different risk categories behaved over time, (c) what factors drive the diverse risks and (d) if there are similarities of risk characteristics for specific clusters of cooperative banks. We find that credit, interest rate and residual risk have a high degree of commonality. Liquidity risk is somehow dissociated from the other categories. Nevertheless, the risk behavior appears to vary over time and for different countries. This feature is relevant for the prudent management of cooperative banks and for the assessment of systemic financial risk.