EARLY WARNING DETECTION OF BANKING DISTRESS — IS FAILURE POSSIBLE FOR EUROPEAN BANKS?

Anissa Naouar
Additional contact information
Anissa Naouar: EconomiX — UMR 7166, 200, avenue de la république, 92000 Nanterre Cedex, France

Chapter 11 in Risk Management and Value:Valuation and Asset Pricing, 2008, pp 231-275 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe aim of this paper is to predict banking distress resulting from capitalization problems in order to justify the viability of Prompt Corrective Actions in Europe. In particular, I examine the impact of the “safety net” and the role of rating agencies through negative credit watches, using a binomial logit model in order to predict European commercial banks capital stress and to test the contribution of institutions and regulatory factors. I also study the impact of concentration and moral hazard generated by deposit insurance on banking stability. My results are in line with previous findings in the literature and demonstrate not only a negative influence of institutional and regulatory factors on European banking systems' distress probability but also a significant role for the rating agencies. In addition, the quality of national regulatory frameworks including supervision restrains considerably moral hazard and excessive risk taken by European commercial banks.

Keywords: Risk; Value; Management; Derivatives (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789812770745_0011 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789812770745_0011 (text/html)
Ebook Access is available upon purchase.

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:wsi:wschap:9789812770745_0011

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().