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Failure prediction in the Russian bank sector with logit and trait recognition models Author info | Abstract | Publisher info | Download info | Related research | Statistics G. LANINE ()
R. VANDER VENNET ()
The Russian banking sector experienced considerable turmoil in the late 1990s, especially around the Russian banking crisis in 1998. The question is what types of banks are vulnerable to shocks and whether or not bank-specific characteristics can be used to predict vulnerability to failures. In this study we employ a parametric logit model and a nonparametric trait recognition approach to predict failures among Russian commercial banks. We test the predictive power of both models based on their prediction accuracy using holdout samples. Both models performed better than the benchmark; the trait recognition approach outperformed logit in both the original and the holdout samples. As expected liquidity plays an important role in bank failure prediction, but also asset quality and capital adequacy turn out to be important determinants of failure.
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Paper provided by Ghent University, Faculty of Economics and Business Administration in its series Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium with number
05/329.
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Length: 36 pages
Date of creation: Aug 2005Date of revision:
Handle: RePEc:rug:rugwps:05/329Contact details of provider: Postal: Hoveniersberg 4, B-9000 Gent Phone: ++ 32 (0) 9 264 34 61 Fax: ++ 32 (0) 9 264 35 92 Web page: http://www.feb.ugent.be/ More information through EDIRC
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Keywords: Russian banks ; bank failure prediction ; logit model ; trait recognition ; forecasting accuracy ; Other versions of this item:
Find related papers by JEL classification: C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
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