The aim of this paper is to identify the relationship between banks’ probability of default and their risk taking incentives. Exploring a large set of bank level financial data from 203 European banks during 2005–2013 we apply the cluster analysis. The results indicate a number of two very different groups inside the dataset within each year, either using the hierarchical trees or the k-means clustering algorithms. Also, the composition of the clusters remains unchanged during crisis years compared with the pre-crisis for the vast majority of the instances. Finally, when mapping the clusters to the distance to default computed through the z-score variable, we show that banks with large size and high liquidity risk enhance their default risk.