Comparison of Indicators for Determining the Thresholds of Banks\' Financial Crisis in EWS Based on Business Cycles (in Persian)

Jalal Sadeghi sharif (), Mohammad Talebi (), Akbar Alam Tabriz () and Mohammadreza Katouzian ()
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Jalal Sadeghi sharif: Iran
Mohammad Talebi: Iran
Akbar Alam Tabriz: Iran
Mohammadreza Katouzian: Iran

Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), 2019, vol. 11, issue 38, 534-501

Abstract: The purpose of this paper is to design a prediction system for thresholds of the bankruptcy of banks based on the business cycle and examine the effects of different approaches in defining the bankruptcy threshold in predicting bankruptcy time of Iranian banks using the Kaplan-Meier and Cox Proportional-Hazards Models. So, the data of listed banks in Tehran Stock Exchange were used from 1385-1395. The results indicate that Iranian banks are affected by five leading variables, which bank supervisors can identify risky banks using these indicators. These variables are operating profit to operating costs ratio, the ratio of total net income of interest and operating income to the total assets, the income of banking services to total income ratio, the ratio of administrative and general expenses to total expenses and bank’s size. Although, results indicate that base on AIC, Z-score approach is the best criteria for defining and identifying bankschr('39') bankruptcy thresholds in comparison with capital adequacy ratio and non-performing loans ratio. Based on this approach, at overall, banks will be on the thresholds of bankruptcy for up to 7 years and this will be reduced to 5 years in recession and during the boom, bankschr('39') bankruptcy thresholds will increase to 8 years.

JEL-codes: C41 G21 G33 (search for similar items in EconPapers)
Date: 2019
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