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Banking

Empirical Banking - Methodological Aspects

Analyzing bank profitability and risk: Empirical methods and system stability.

10h (5 days)

€675 - €1,175

Face-to-face

English

Program date: July 7 - July 11, 2025

Early Bird deadline: April 15, 2025

Learn more

Empirical Banking - Methodological Aspects

Applications for 2025 Summer School programs are now open!

Summer school

Banking

Empirical Banking Methodological Aspects

Course Overview

This course introduces current methodologies for the analysis of banks’ profitability and risk both at an individual and system level. Starting with the classical empirical analyses of bank profitability and risk of the Industrial Organization literature, the course proceeds to examine recent developments in the measurement of bank performance and risk, as well as banking system stability.

The course reviews the relevant literature, illustrates key features of the economic and statistical models, and provides examples of applications.

At the end of this course, participants will understand the implementation of classical and recent empirical analyses of banking.

Faculty

Get up to speed with the latest developments in empirical banking methods

The course has been specifically designed for:

Advanced undergraduate and graduate students interested in completing their studies in banking
Master’s or PhD students writing their thesis on bank risk, risk management, or financial stability

The course covers methodologies to analyze banks' profitability & risk at individual and system levels

At the end of the course, participants will:

Understand classical and recent empirical analyses of banking

Program Syllabus for Empirical Banking

What will you be studying? Check out the course outline below.

The Industrial Organization of Banking

Measuring the impact of bank competition and market structure on bank profitability and risk

Bank Risks and Bank Regulation

Measuring market, credit and liquidity risk.
Tail risk measures
Regulating bank risks

Systemic Risk and Banking System Stability

Systemic bank distress and banking crises: measurement and prediction

Foundations of Early Warning Systems (EWS) For Bank Systemic Risk

CoVaR,- SRISK-type frameworks

Stress Testing Banking Systems

Methodologies and implications for regulation

List of References

To help you prepare for this course, you may want to read some of the following articles.

Session 1: The industrial organization of banking

Corbae, Dean, and Ross Levine, 2023, Competition, Stability, and Efficiency in the Banking Industry, mimeo.
Egan, Mark, Stefan Lewellen, and Adi Sunderam, 2021, The Cross-Section of Bank Value, The Review of Financial Studies, v.35, n.5: 2101-2143.
Degryse, Hans, and Steven Ongena, 2019, Competition and Regulation in the Banking Sector: A Review of the Empirical Evidence on the Sources of Bank Rents, The Oxford Handbook of Banking, 3rd Edition, Oxford.
Goetz, Martin, 2018, Competition and bank stability, Journal of Financial Intermediation, 35: 57-69.
Hughes, Joseph, and Loretta Mester, 2019, The performance of financial institutions: modeling, evidence, and some policy implications, The Oxford Handbook of Banking, 3rd Edition, Oxford.

Session 2: Bank risks and bank regulation

BCBS, 2019, The costs and benefits of capital regulation: a review of the literature, Working Paper n.37.
BCBS, 2022, Evaluation of the impact and efficiency of Basel III Reforms, December.
BCBS, 2022, Evaluation of the impact and efficiency of Basel III Reforms – ANNEX, December.

Session 3: Systemic risk and banking system stability

Benoit, Colliard, Hurlin, and Perignon, 2017, Where the Risks Lie: A Survey on Systemic Risk, Review of Finance, 21: 109-152.
Boyd, De Nicolò, and Rodionova, 2019, Banking crises and crises dating: disentangling shocks and policy responses, Journal of Financial Stability, Vol. 41: 45-54.
Fouliard, Jérémy, Michael Howell , Hélène Rey, and Vania Stavrakeva 2023, Answering the Queen. Machine learning and financial crises, mimeo, October.
Romer, C. D. and D. H. Romer, 2017, New evidence on the impact of financial crises in advanced countries. American Economic Review. 107, 3072–3118 (2017).

Session 4: Foundations of Early Warning Systems (EWS) for Bank Systemic Risk

Adrian, Tobias and Markus Brunnermeier, 2016, CoVaR, American Economic Review, Vol. 106(7): 1705-1741.
Brownlee and Engle, 2017, SRISK: A Conditional Capital Shortfall Measure of Systemic Risk, The Review of Financial Studies, Vol. 30, n.1: 48-79.
Diebold, Francis, and Kamil Yilmaz, 2014, On the network topology of variance decompositions: measuring the connectedness of financial firms, Journal of Econometrics, 182: 119-134.
Jung, Hyeyoon, Robert Engle, and Richard Brenner, 2023, CRISK: Measuring the Climate Risk Exposure of the Financial System, FED NY Staff Report No.977, March.

Session 5: Stress testing

Acharya Viral, Richard Berner, Robert Engle, Hyeyoon Jung, Johannes Stroebel, Xuran Zeng, and Yihao Zhao, 2023, Climate Stress Testing, Annual Review of Financial Economics, 15:291–326.
Sarin, Natasha, and Lawrence Summers, 2022, On market-based approaches to the valuation of bank capital, Handbook of Financial Stress Testing, Cambridge University Press.
De Nicolò, Gianni, and Marcella Lucchetta, 2017, Forecasting Tail Risks, Journal of Applied Econometrics, 32: 159-170.
Engle, Robert, 2022, Stress testing with market data, Handbook of Financial Stress Testing, Cambridge University Press.
Engle, Robert, and Tianyue Ruan, 2019, Measuring the probability of a financial crisis, PNAS, Vol. 116, n.37: 18341-18346.

Call For Papers

Students are encouraged to present their research papers.

If you are interested in submitting a paper for review, please make your submission to summerschool@bse.eu. Please put “Banking call for papers” in the subject line of your email.

The deadline for submitting papers is May 30, and the schedule for the presentation of papers will be announced when the selection of papers has been finalized.

Why join our Summer School?

All BSE Summer courses are taught to the same high standard as our Master’s programs. Join us to:

1

Network with like-minded peers

2

Study in vibrant Barcelona

3

Learn from world-renowned faculty

Admissions and Requirements

The level of the material is equivalent to what is presented in our Master’s programs.

It is the responsibility of the applicant to check they meet the eligibility requirements for admission.

Program date: July 7 - July 11, 2025

Early bird deadline: April 15, 2025

Admissions Requirements

Summer School applicants normally demonstrate one or more of the following:

A strong background in Economics or a field closely related to the course topic (Statistics, Law, etc.)
Postgraduate degree or current Master’s/PhD studies related to the course topic
Relevant professional experience

Schedule

Here is your timetable for BSE Empirical Banking Methodology course. The schedule is designed to allow students to participate in all courses in the Banking program.

Please refer to the Banking Summer School webpage for the complete schedule of all banking courses.

Time

7

mon

8

tue

9

wed

10

thu

11

fri

11: 30 - 13:30

Lecture

14:30 - 15:30

Paper presentations*

*These sessions only take place if enough papers are submitted

Credit Transfers (ECTS)

To be eligible for credit transfer, students must complete a final project.

Students will deliver a short summary of a paper one week after the summer school finishes. It will consist of a critical summary of a published paper, around 3-4 pages, 1.5 spaced, font size 11. The critical summary will need to follow these guidelines: expose what are the main ideas of the paper, how they are addressed, strength and weakness of the paper, methodological approach, theoretical or empirical background, and suggestions for improvements.

Consult the Summer School Admissions page for more information about this option.

Certificate of Attendance

Participants who attend more than 80% of the course will receive a Certificate of Attendance, free of charge.

Fees

Multiple course discounts are available. For more information on available discounts, please click here. Fees for courses in other Summer School programs may vary.

Course

Banking and Money

Empirical Tools/Applications in Banking and Macro-Finance

Banking Theory

Empirical Banking- Methodological Aspects

Modality

Face-to-face

Total Hours

10

ECTS

1

Regular Fee

1,175€

Reduced Fee*

675€

* Reduced Fee applies for PhD or Master’s students, Alumni of BSE Master’s programs, and participants who are unemployed.

FAQ

Here are some commonly asked questions by participants. Any further queries, please contact our Admissions Team.

Can I see the full Summer School calendar?

You can view the full Summer School calendar here.

Is accommodation included in the course fee?

Accommodation is not included in the course fee. Participants are responsible for finding accommodation.

Are the sessions recorded?

Sessions will NOT be recorded; however, the materials provided by the professor will be available for a month after the course has finished.

How much does each Summer School course cost?

Fees for each course may vary. Please consult each course page for accurate information.

Are there any discounts available?

Yes, BSE offers a variety of discounts on its Summer School courses. See more information about available discounts oor request a personalized discount quote by email.