Systematic Risk Assessment in non-list Banks

The problem to be addressed in this work aims at determining a risk factor indispensable for evaluating the profitability elements of an investment; factor that is not always easily quantifiable. A very significant implication is found, in fact, in the quantification of the cost of the risk capital invested in an unlisted bank; therefore, in this work we want to deal with the rather singular case of cooperative credit banks. The Capital Asset Pricing Model (CAPM) allows us to determine the expected return of a given investment. But the main problem in the application of this model is given by the quantification of one of the factors that compose it, or the Beta, representative of the systematic risk of the activity in question. Therefore, it was decided to start from the annual returns of a sample of cooperative credit banks, in order to identify this Beta coefficient. This coefficient is a measure of a significant risk level not only for the expected return, but also for the evaluation of additional parallel and substitute elements of the latter. Banks that operate in a specific geographical area and whose annual returns are related to a specific time interval. Following two different methodologies, or rather using the Objective Beta and the Regression Beta, two dissimilar coefficients have been determined. The comparison of which, in addition to providing interesting observations, allows to suggest the most suitable path in the assessment of the systematic risk of an unlisted bank, with the consequent quantification of the relative expected return.