Advanced Search
MyIDEAS: Login to save this paper or follow this series

Modélisation de la Prévision de Défaillance Bancaire et Facteurs Réglementaires Une Application aux Banques des Pays Emergents

Contents:

Author Info

  • Christophe Godlewski

    (LaRGE, Institut d'Etudes Politiques, Université Robert Schuman, Strasbourg 3)

Abstract

Notre travail s’inscrit dans le courant consacré à la prévision de la défaillance bancaire. Il se propose de tester la validité de la typologie de type CAMEL dans le cadre de la modélisation de la prévision du défaut bancaire dans les pays émergents. Son originalité réside dans l’application aux pays émergents, et dans l’intégration de variables supplémentaires sur l’environnement réglementaire, juridique et institutionnel dans le modèle de prévision de défaillance bancaire. En appliquant un modèle logit à une base de données de banques défaillantes dans les pays émergents, nous retrouvons les principaux résultats des modèles de prévision de la défaillance bancaire qui suivent la typologie CAMEL. Les variables proxies de la solvabilité bancaire, de la qualité des actifs, plus particulièrement la politique de provisionnement des crédits, de la qualité de gestion, de la rentabilité et de la liquidité des actifs et du taux d’intermédiation ont un impact significativement négatif sur la probabilité de défaillance à un an. La nationalité de l’actionnaire principal, la structure du système d’assurance des dépôts, la régulation et la surveillance prudentielles, et la structure du marché bancaire ont un impact significatif sur la probabilité de défaut des banques dans les pays émergents.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://128.118.178.162/eps/fin/papers/0409/0409027.pdf
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0409027.

as in new window
Length:
Date of creation: 08 Sep 2004
Date of revision:
Handle: RePEc:wpa:wuwpfi:0409027

Note: Type of Document - pdf
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords: faillite bancaire; modèlisation de la prévision de défaillance bancaire; environnement réglementaire; légal et institutionnel; pays émergents; rating CAMEL; modèle logit;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Stephen Prowse, 1995. "Alternative methods of corporate control in commercial banks," Working Papers 9507, Federal Reserve Bank of Dallas.
  2. Blum, Jurg, 1999. "Do capital adequacy requirements reduce risks in banking?," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 755-771, May.
  3. Robert B. Avery & Gerald A. Hanweck, 1984. "A dynamic analysis of bank failures," Research Papers in Banking and Financial Economics 74, Board of Governors of the Federal Reserve System (U.S.).
  4. Barth, James R. & Caprio Jr, Gerard & Levine, Ross, 2001. "The regulation and supervision of banks around the world - a new database," Policy Research Working Paper Series 2588, The World Bank.
  5. James R. Barth & R. Dan Brumbaugh & Daniel Sauerhaft & George H.K. Wang, 1985. "Thrift institution failures: causes and policy issues," Proceedings 68, Federal Reserve Bank of Chicago.
  6. Espahbodi, Pouran, 1991. "Identification of problem banks and binary choice models," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 53-71, February.
  7. Sinkey, Joseph F, Jr, 1978. "Identifying "Problem" Banks: How Do the Banking Authorities Measure a Bank's Risk Exposure?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(2), pages 184-93, May.
  8. Brenda González-Hermosillo, 1999. "Determinants of Ex-Ante Banking System Distress," IMF Working Papers 99/33, International Monetary Fund.
  9. Richard S. Barr & Thomas F. Siems, 1994. "Predicting bank failure using DEA to quantify management quality," Financial Industry Studies Working Paper 94-1, Federal Reserve Bank of Dallas.
  10. Gerald A. Hanweck, 1977. "Predicting bank failure," Research Papers in Banking and Financial Economics 19, Board of Governors of the Federal Reserve System (U.S.).
  11. Barth, James R. & Caprio, Gerard & Levine, Ross, 2000. "Banking systems around the globe : do regulation and ownership affect the performance and stability?," Policy Research Working Paper Series 2325, The World Bank.
  12. Patrick Honohan, 1997. "Banking system failures in developing and transition countries: Diagnosis and predictions," BIS Working Papers 39, Bank for International Settlements.
  13. Sinkey, Joseph F, Jr, 1975. "A Multivariate Statistical Analysis of the Characteristics of Problem Banks," Journal of Finance, American Finance Association, vol. 30(1), pages 21-36, March.
  14. Richard S. BARR & Lawrence M. SEIFORD & Thomas F. SIEMS, 1994. "Forecasting Bank Failure : A Non-Parametric Frontier Estimation Approach," Discussion Papers (REL - Recherches Economiques de Louvain) 1994041, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  15. Molina, Carlos A., 2002. "Predicting bank failures using a hazard model: the Venezuelan banking crisis," Emerging Markets Review, Elsevier, vol. 3(1), pages 31-50, March.
  16. Bank for International Settlements, 2001. "The banking industry in the emerging market economies: competition, consolidation and systemic stability," BIS Papers, Bank for International Settlements, number 04, 8.
  17. Merton, Robert C., 1977. "An analytic derivation of the cost of deposit insurance and loan guarantees An application of modern option pricing theory," Journal of Banking & Finance, Elsevier, vol. 1(1), pages 3-11, June.
  18. Coleen C. Pantalone & Marjorie B. Platt, 1987. "Predicting commercial bank failure since deregulation," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 37-47.
  19. Stephen D. Prowse, 1995. "Alternative methods of corporate control in commercial banks," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Q III, pages 24-36.
  20. Asli Demirgüç-Kunt, 1989. "Deposit-institution failures: a review of empirical literature," Economic Review, Federal Reserve Bank of Cleveland, issue Q IV, pages 2-18.
  21. Caprio, Gerard Jr. & Klingebiel, Daniela, 1996. "Bank insolvencies : cross-country experience," Policy Research Working Paper Series 1620, The World Bank.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0409027. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.