This study proposes a measure of the risk appetite of a bank's ownership structure and investigates whether ownership risk propensity is related to performance and default risk. Our indicator, the Risk-Weighted Ownership (RWO), assumes that credit risk is a proxy for shareholders' risk appetite and assigns risk weights based on the Basel standard approach to the stakes held by the top 5, 10, and 20 controlling shareholders. We calculate the RWO index using a sample of 76 listed banks from the Eurozone and the United Kingdom from 2008 to 2017. The RWO correlates with bank fundamentals when we regress it with accounting- and market-based performance and risk measures. We present two major findings. First, the RWO index incorporates the risk appetite of controlling shareholders, and its variance is affected by the ownership structure. Second, a higher risk appetite among shareholders is associated with higher profitability but lower bank capitalization, implying a trade-off between performance and default risk. Overall, we find that the risk appetite of the ownership structure is an important driver of bank performance and risk.

中文翻译：

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衡量银行控股股东的风险偏好：风险加权所有权指数

本研究提出了衡量银行所有权结构风险偏好的方法，并研究所有权风险倾向是否与绩效和违约风险相关。我们的指标风险加权所有权（RWO）假设信用风险是股东风险偏好的代理，并根据巴塞尔标准方法为前 5、10 和 20 名控股股东持有的股权分配风险权重。我们使用 2008 年至 2017 年欧元区和英国 76 家上市银行的样本来计算 RWO 指数。当我们将 RWO 与基于会计和市场的绩效和风险指标进行回归时，RWO 与银行基本面相关。我们提出两个主要发现。首先，RWO指数纳入了控股股东的风险偏好，其方差受到股权结构的影响。其次，股东较高的风险偏好与较高的盈利能力有关，但银行资本较低，这意味着业绩和违约风险之间的权衡。总体而言，我们发现股权结构的风险偏好是银行业绩和风险的重要驱动因素。