Risk and Risk-Adjusted Profitability of Visegrad Group Banks After the Great Financial Crisis

Pavel Jankulár ()
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Pavel Jankulár: Prague University of Economics and Business, Department of Monetary Theory and Policy

Chapter 4 in Contemporary Challenges in Finance and Accounting: Insights into Markets, Reporting and Sustainability, 2026, pp 63-100 from Springer

Abstract: Abstract In this paper, I examine the validity of the risk-return trade-off for the sample of the banks from Visegrad Group countries over the period 2008–2022 by analysing the relationship between the bank risk and risk-adjusted returns. I find evidence of a significant negative association between the regulatory risk measure and risk-adjusted net interest margin (rNIM), indicating that the risk-return trade-off does not hold completely in case of interest margin. Specifically, a 100 bps increase in the risk is on average associated with about a 11 bps decrease in the rNIM in the short run. The long-run effect is roughly half as large, i.e. approx 17.5 bps. I also find evidence that during the period of the low interest rates, the negative effect of risk on rNIM was in case of commercial banks lower, albeit still negative. Contrary, the results suggest that in a view of return on assets adjusted for the risk, the risk-return trade-off holds.

Keywords: Bank profitability; Bank risk; Risk-return trade-off; Dynamic panel regression (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-032-20143-0_4

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DOI: 10.1007/978-3-032-20143-0_4

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