Our aim here is to provide evidence about the consistency of efficiency frontier methods on European banking samples. We measure the cost efficiency of banks from five European countries with three approaches: stochastic frontier approach, distribution-free approach, data envelopment analysis. We compare the means, the correlations, the diagnosis about two public policy issues, and the correlation with standard measures of performance. We broadly conclude in favor of the lack of robustness between approaches, even if there are some similarities in particular between parametric approaches. However we observe the correlation of all efficiency scores with standard cost measures.