ECB paper presents new measure of bank performance

“Bank edge” compares individual banks’ book returns to benchmark portfolio

European Central Bank
The European Central Bank

A working paper published by the European Central Bank (ECB) presents a new measure of banks’ performance.

In Determinants of bank performance: evidence from replicating portfolios, Carlo Altavilla, Juliane Begenau, Lorenzo Burlon and Franziska Hünnekes use granular information on the maturities, inception dates and risk levels on banks’ balance sheets.

Their measure, called “bank edge”, compares banks’ actual book returns against a benchmark portfolio that mimics individual lenders’ exposure to

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