Evaluating banks’ solvency through a Merton-like approach

Aldo Letizia
Additional contact information
Aldo Letizia: Banca Popolare Pugliese

BANCARIA, 2018, vol. 4, 22-40

Abstract: For an effective market-discipline in the credit sector it is necessary that investors increase their capability of early detecting banks with sub-optimal solvency levels and produce timely responses, in proportion to the relevant idiosyncratic risk. This article explores the possibility of applying structural models for credit risk to calculate banks’ solvency indicators capable of extracting more information from balance sheet data and with a high discriminatory power if compared to the most common measures such as capital ratios and Texas ratio

JEL-codes: G21 G28 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.bancaria.it/en/evaluating-banks-solvenc ... merton-like-approach (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:4:y:2018:m:april:p:22-40

Access Statistics for this article

BANCARIA is currently edited by Bancaria Editrice - the publisher of the Italian Banking Association

More articles in BANCARIA from Bancaria Editrice
Bibliographic data for series maintained by Francesco Emiliano Tani ().