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Author : James Kolari
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.:/5 (318 download)
Download or read book Predicting Large U.S. Commercial Bank Failures written by James Kolari and published by . This book was released on 2000 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peral Toktas-Palut
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783838352923
Total Pages : 252 pages
Book Rating : 4.3/5 (529 download)
Download or read book Predicting Bank Failures written by Peral Toktas-Palut and published by LAP Lambert Academic Publishing. This book was released on 2010-04 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economic crises in the world have also affected the banking sector and caused an increase in bank failures. Therefore, predicting bank failures as earlier as possible has become more important to take the necessary precautions in advance. This book aims at developing early-warning models to predict bank failures up to three years prior to failure and examines the case of Turkey. The models are developed using two different data mining techniques: logistic regression analysis and neural networks. The financial ratios derived from the financial statements of the banks are used to construct the models. The results show that capital adequacy, asset quality, liquidity position, profitability, and income-expenditure structure of a bank are the indicators of its likelihood of failure at a posterior time. Besides the bank failure prediction models, this book also gives a review of data mining techniques and mainly focuses on the factor analysis, logistic regression analysis, and neural networks. The book is intended to help the bank supervisors, bank balance sheet analysts, and investors, as well as the readers interested in the banking sector and also data mining techniques.
Author : Richard S. Barr
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.3/5 ( download)
Download or read book Predicting Bank Failure Using DEA to Quantify Management Quality written by Richard S. Barr and published by . This book was released on 1994 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Federal Deposit Insurance Corporation
Publisher : CreateSpace
ISBN 13 : 9781514205051
Total Pages : 50 pages
Book Rating : 4.2/5 (5 download)
Download or read book Troubled Banks written by Federal Deposit Insurance Corporation and published by CreateSpace. This book was released on 2015-06-04 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we examine troubled banks-those that receive a poor safety-and-soundness rating when examined-in order to predict future bank state. Besides failure, we see three alternative outcomes for these banks: recovery, acquisition, or continuation as a problem. The determinants of bank failure have been much researched, as has failure prediction. Most of this research uses a binary approach, dividing banks into two groups (those that fail and those that do not) or predicting one of two states (failure or nonfailure). Because our sample contains only troubled banks, we can go beyond a two-state approach. First we use univariate trend analysis to determine whether financial variables differ within this group of banks depending on the banksâe(tm) future states. This analysis suggests that meaningful relationships exist between these future states and prior-period financial conditions. We then use financial ratios as explanatory variables in a unified model of bank states, with the goal of improving predictions of future bank condition. We gauge the modelâe(tm)s effectiveness by testing the out-of-sample forecasting accuracy. Our results show that our model compares favorably with the standard binary failure-prediction model, yet has the added feature of predicting recovery, merger, or continuation as a problem bank.
Author : James Brian Smith
Publisher :
ISBN 13 :
Total Pages : 252 pages
Book Rating : 4.:/5 (345 download)
Download or read book Predicting Bank Failures written by James Brian Smith and published by . This book was released on 1995 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Federal Deposit Insurance Corporation
Publisher : Createspace Independent Publishing Platform
ISBN 13 : 9781523389803
Total Pages : 0 pages
Book Rating : 4.3/5 (898 download)
Download or read book Troubled Banks written by Federal Deposit Insurance Corporation and published by Createspace Independent Publishing Platform. This book was released on 2016-01-14 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book we examine troubled banks-those that receive a poor safety-and-soundness rating when examined-in order to predict future bank state. Besides failure, we see three alternative outcomes for these banks: recovery, acquisition, or continuation as a problem. The determinants of bank failure have been much researched, as has failure prediction. Most of this research uses a binary approach, dividing banks into two groups (those that fail and those that do not) or predicting one of two states (failure or nonfailure). Because our sample contains only troubled banks, we can go beyond a two-state approach. First we use univariate trend analysis to determine whether financial variables differ within this group of banks depending on the banks future states. This analysis suggests that meaningful relationships exist between these future states and prior-period financial conditions. We then use financial ratios as explanatory variables in a unified model of bank states, with the goal of improving predictions of future bank condition. We gauge the models effectiveness by testing the out-of-sample forecasting accuracy. Our results show that our model compares favorably with the standard binary failure-prediction model, yet has the added feature of predicting recovery, merger, or continuation as a problem bank.
Author : Ms.Brenda Gonzalez-Hermosillo
Publisher : International Monetary Fund
ISBN 13 : 1451845162
Total Pages : 115 pages
Book Rating : 4.4/5 (518 download)
Download or read book Determinants of Ex-Ante Banking System Distress written by Ms.Brenda Gonzalez-Hermosillo and published by International Monetary Fund. This book was released on 1999-03-01 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically analyzes the contribution of microeconomic and macroeconomic factors in five recent episodes of banking system problems in the U.S. Southwest (1986–92), Northeast (1991–92), and California (1992–93); Mexico (1994–95); and Colombia (1982–87). The paper finds that a low capital equity and reserve coverage of problem loans ratio is a leading indicator of bank distress, signaling a high likelihood of near-term failure. Distress is shown to be a function of the same fundamental macro-micro sources of risk that determine bank failures. Focusing on distress has the advantage that the fragility of the banking system can be assessed before a crisis actually occurs.
Author : Maxim Ananyev
Publisher :
ISBN 13 :
Total Pages : 57 pages
Book Rating : 4.:/5 (14 download)
Download or read book Rotten Banks: Predicting Bank Failures After Great Recession Through Binary Classification written by Maxim Ananyev and published by . This book was released on 2018 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: I investigate the determinants of bank failures after the financial crisis of the years 2007 - 2009 to build a predictive model of bank failures. I use two paradigms for prediction: accuracy-maximization and Neyman-Pearson paradigm. Accuracy-maximization implies that Type I errors and Type II errors are equally costly, thus out-of-sample predictive accuracy is the most important parameter for evaluation. Neyman-Pearson paradigm implies setting an upper bound for Type I errors and minimizing Type II errors within that bound. In this case, the costs associated with Type I and Type II errors can be different. I find that, because the bank failures are rare events, many of the accuracy-maximizing classifiers tend to assign all the observations to the class of non-failing banks. This achieves out-of-sample predictive accuracy of 96 percent but misses all the failures. Two algorithms, post-Lasso logit, and random forest tend to have a relatively low level of Type II errors. The classification with the Neyman-Pearson paradigm performs better in terms of minimizing Type II errors while containing Type I errors. All of the algorithms, in out-of-sample testing, were able to identify at least 50 percent of the failing banks, while having a false positive rate below ten percent. The minimum share of Type II errors was displayed by Ada-Boost algorithm (24 percent), while GLM with LASSO penalty and sparse LDA did not perform much worse (the level of Type II errors were 27 percent). My analysis produces additional substantive insights. I find that low profitability and a high proportion of impaired loans are the most important factors for bank failures.
Author : Rebel A. Cole
Publisher :
ISBN 13 :
Total Pages : 30 pages
Book Rating : 4.:/5 (13 download)
Download or read book Predicting Bank Failures written by Rebel A. Cole and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We replicate three bank failure models (Martin (1977), Cole and White (2012), and DeYoung and Torna (2013)) and introduce a new predictive model along with several evaluation methods to compare their out-of-sample predictive accuracy. We find that the models are highly accurate individually, and despite their similarities, are significantly different. Our new model is compared to the existing models using evaluation methods which are new to the extant field of bank failure research. Our model is significantly different from and more accurate than the existing models. Our paper makes an important contribution to bank failure research by demonstrating and validating evaluation methods which allow researchers and regulators to determine if a new bank failure model is different from and better than what has already been published.
Author : Nicola Gennaioli
Publisher : International Monetary Fund
ISBN 13 : 1498391990
Total Pages : 53 pages
Book Rating : 4.4/5 (983 download)
Download or read book Banks, Government Bonds, and Default written by Nicola Gennaioli and published by International Monetary Fund. This book was released on 2014-07-08 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.
Author : Will Kerry
Publisher : International Monetary Fund
ISBN 13 : 1513511661
Total Pages : 29 pages
Book Rating : 4.5/5 (135 download)
Download or read book Finding the Bad Apples in the Barrel: Using the Market Value of Equity to Signal Banking Sector Vulnerabilities written by Will Kerry and published by International Monetary Fund. This book was released on 2019-08-16 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper measures the performance of different metrics in assessing banking system vulnerabilities. It finds that metrics based on equity market valuations of bank capital are better than regulatory capital ratios, and other metrics, in spotting banks that failed (bad apples). This paper proposes that these market-based ratios could be used as a surveillance tool to assess vulnerabilities in the banking sector. While the measures may provide a somewhat fuzzy signal, it is better to have a strategy for identifying bad apples, even if sometimes the apples turn out to be fine, than not being able to spot any bad apples before the barrel has been spoiled.
Author : Constantin Zopounidis
Publisher : Springer Nature
ISBN 13 : 3030666913
Total Pages : 480 pages
Book Rating : 4.0/5 (36 download)
Download or read book Financial Risk Management and Modeling written by Constantin Zopounidis and published by Springer Nature. This book was released on 2021-09-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk is the main source of uncertainty for investors, debtholders, corporate managers and other stakeholders. For all these actors, it is vital to focus on identifying and managing risk before making decisions. The success of their businesses depends on the relevance of their decisions and consequently, on their ability to manage and deal with the different types of risk. Accordingly, the main objective of this book is to promote scientific research in the different areas of risk management, aiming at being transversal and dealing with different aspects of risk management related to corporate finance as well as market finance. Thus, this book should provide useful insights for academics as well as professionals to better understand and assess the different types of risk.
Author : Constantin Zopounidis
Publisher : Springer Science & Business Media
ISBN 13 : 3642574785
Total Pages : 309 pages
Book Rating : 4.6/5 (425 download)
Download or read book New Trends in Banking Management written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 309 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last decades the globalization, the intensified competition and the rapid changes in the socio-economic and technological environment had a major impact on the global economic, financial and business environments. Within this environment, it is clear that banking institutions worldwide face new challenges and increasing risks, as well as increasing business potentials. The recent experience shows that achieving a sustainable development of the banking system is not only of interest to the banking institutions themselves, but it is also directly related to the development of the whole business and economic environment, both at regional and international level. The variety of new banking products that is constantly being developed to accommodate the increased customer needs (firms, organizations, individuals, etc.) provides a clear indication of the changes that the banking industry has undergone during the last two decades. The establishment of new products of innovative processes and instruments for their requires the implementation efficient management. The implementation of such processes and instruments is closely related to a variety of disciplines, advanced quantitative analysis for risk management, information technology, quality management, etc. The implementation ofthese approaches in banking management is in accordance with the finding that empirical procedures are no longer adequate to address the increasing complexity of the banking industry.
Author : Emmanuel U. Mgboji
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book A Quantitative Analysis of Bank Failures in the United States written by Emmanuel U. Mgboji and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Brett Lantz
Publisher : Packt Publishing Ltd
ISBN 13 : 1782162151
Total Pages : 587 pages
Book Rating : 4.7/5 (821 download)
Download or read book Machine Learning with R written by Brett Lantz and published by Packt Publishing Ltd. This book was released on 2013-10-25 with total page 587 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written as a tutorial to explore and understand the power of R for machine learning. This practical guide that covers all of the need to know topics in a very systematic way. For each machine learning approach, each step in the process is detailed, from preparing the data for analysis to evaluating the results. These steps will build the knowledge you need to apply them to your own data science tasks.Intended for those who want to learn how to use R's machine learning capabilities and gain insight from your data. Perhaps you already know a bit about machine learning, but have never used R; or perhaps you know a little R but are new to machine learning. In either case, this book will get you up and running quickly. It would be helpful to have a bit of familiarity with basic programming concepts, but no prior experience is required.
Author :
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (836 download)
Download or read book Coordinated Failure? written by and published by . This book was released on 2005 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model that allows for cross-correlation of the error terms. Our results suggest that loans, both as a ratio to total assets, deposits and in some cases the ratio of non-performing loans, are the most significant predictors of bank failure in both Japan and Indonesia. Regulatory capital ratios, on the contrary, do not seem to be significant indicators of failure. In addition to the domestic models, we explore the usefulness of a cross-country model of bank failure prediction and find that this model outperforms the domestic models on several diagnostic tests. -- Bankruptcy ; logistic regression ; early warning ; logit ; bank failure ; bank crisis.
Author : Zuzana Fungacova
Publisher : International Monetary Fund
ISBN 13 : 1475581807
Total Pages : 33 pages
Book Rating : 4.4/5 (755 download)
Download or read book High Liquidity Creation and Bank Failures written by Zuzana Fungacova and published by International Monetary Fund. This book was released on 2015-05-06 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We formulate the “High Liquidity Creation Hypothesis” (HLCH) that a proliferation in the core activity of bank liquidity creation increases failure probability. We test the HLCH in the context of Russian banking, which provides a natural field experiment due to numerous failures experienced over the past decade. Using Berger and Bouwman’s (2009) liquidity creation measures as a comprehensive proxy for overall bank output, we find that high liquidity creation significantly increases the probability of bank failure; this finding survives multiple robustness checks. Our results suggest that regulatory authorities can mitigate systemic distress and reduce the costs of bank failures to society through early identification of high liquidity creators and enhanced monitoring of their funding and investment activities.
