Modelos de Previsão de Insolvência Bancária no Brasil

Marcio Janot

No 13, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The article examines the performance, between 1995 and 1998, of two alternative early warning models of bank insolvency - logistic regression and Cox´s proportional risk. The models provide estimates of the conditional probability of a bank staying in good standing longer than a certain period of time. The reasonable accuracy of the results in terms of anticipating bank insolvency suggests the appropriateness of the use of early warning models by the Central Bank of Brazil as an additional instrument for financial system supervision.

Date: 2001-03
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