Probability of Bank Failure: The Russian Case
A question of explaining bank failures constitutes perhaps one of the greatest interest to banks' clients, policy-makers and regulators. Not surprisingly, for a long time, this question has been a challenge for theoretical and empirical economists. In this paper we investigate which factors affect soundness of a bank, taking into consideration micro level data, as well as macro level component. We also employ efficiency estimate, obtained with the help of DEA, to account for the quality of management. Then we use logit model and proportional hazard model with efficiency component. We find that efficiency element, together with size and regional belonging, are highly significant in all specifications, while macro variables did not seem to influence failures significantly.
|Date of creation:||13 Feb 2006|
|Date of revision:|
|Contact details of provider:|| Postal: EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine|
Web page: http://www.eercnetwork.com
|Order Information:|| Postal: EERC Research Network, Russia and CIS, 92/94, Dmytrivska Str., suite 404, Kyiv, 01135 Ukraine|
Web: https://eercnetwork.com/paper Email:
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.:
- Allen N. Berger & Timothy H. Hannan, 1998.
"The Efficiency Cost Of Market Power In The Banking Industry: A Test Of The "Quiet Life" And Related Hypotheses,"
The Review of Economics and Statistics,
MIT Press, vol. 80(3), pages 454-465, August.
- Allen N. Berger & Timothy H. Hannan, 1994. "The efficiency cost of market power in the banking industry: a test of the "quiet life" and related hypotheses," Finance and Economics Discussion Series 94-36, Board of Governors of the Federal Reserve System (U.S.).
- Allen Berger & Timothy Hannan, 1994. "The Efficiency Cost of Market Power in the Banking Industry: A Test of the 'Quiet Life' and Related Hypotheses," Center for Financial Institutions Working Papers 94-29, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Peresetsky, Anatoly & Karminsky, Alexandr & Golovan, Sergei, 2004.
"Probability of default models of Russian banks,"
BOFIT Discussion Papers
21/2004, Bank of Finland, Institute for Economies in Transition.
- Resti, Andrea, 1997. "Evaluating the cost-efficiency of the Italian Banking System: What can be learned from the joint application of parametric and non-parametric techniques," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 221-250, February.
- Amemiya, Takeshi, 1981. "Qualitative Response Models: A Survey," Journal of Economic Literature, American Economic Association, vol. 19(4), pages 1483-1536, December.
- Asli DemirgÃ¼Ã§-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
- Brenda GonzÃ¡lez-Hermosillo & Ceyla PazarbaÅŸioÄŸlu & Robert Billings, 1997. "Determinants of Banking System Fragility: A Case Study of Mexico," IMF Staff Papers, Palgrave Macmillan, vol. 44(3), pages 295-314, September.
- Patrick Honohan, 1997.
"Banking system failures in developing and transition countries: Diagnosis and predictions,"
BIS Working Papers
39, Bank for International Settlements.
- P. Honohan, 2000. "Banking System Failures in Developing and Transition Countries: Diagnosis and Prediction," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 29(1), pages 83-109, 02.
- Kraft, Evan & Tirtiroglu, Dogan, 1998. "Bank Efficiency in Croatia: A Stochastic-Frontier Analysis," Journal of Comparative Economics, Elsevier, vol. 26(2), pages 282-300, June.
- Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
- Canova, Fabio, 1994. "Were Financial Crises Predictable?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 102-24, February.
- Berg, Sigbjorn Atle & Forsund, Finn R. & Hjalmarsson, Lennart & Suominen, Matti, 1993. "Banking efficiency in the Nordic countries," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 371-388, April.
- A. Illarionov, 1999. "How The Russian Financial Crisis Was Organized [Ii]," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 41(11), pages 29-56, March.
- 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.
- David C. Wheelock & Paul W. Wilson, 1993.
"Explaining bank failures: deposit insurance, regulation, and efficiency,"
1993-002, Federal Reserve Bank of St. Louis.
- Wheelock, David C & Wilson, Paul W, 1995. "Explaining Bank Failures: Deposit Insurance, Regulation, and Efficiency," The Review of Economics and Statistics, MIT Press, vol. 77(4), pages 689-700, November.
- Rebel A. Cole & Jeffery W. Gunther, 1993.
"Separating the likelihood and timing of bank failure,"
Financial Industry Studies Working Paper
93-2, Federal Reserve Bank of Dallas.
- Cole, Rebel A. & Gunther, Jeffery W., 1995. "Separating the likelihood and timing of bank failure," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1073-1089, September.
- Rebel A. Cole & Jeffery W. Gunther, 1993. "Separating the likelihood and timing of bank failure," Finance and Economics Discussion Series 93-20, Board of Governors of the Federal Reserve System (U.S.).
- Osman Zaim, 1995. "The Effect of Financial Liberalizationon the Efficiency of Turkish Commercial Banks," Working Papers 9505, Department of Economics, Bilkent University.
- Meyer, Paul A & Pifer, Howard W, 1970. "Prediction of Bank Failures," Journal of Finance, American Finance Association, vol. 25(4), pages 853-68, September.
- Kao, Chiang & Liu, Shiang-Tai, 2004. "Predicting bank performance with financial forecasts: A case of Taiwan commercial banks," Journal of Banking & Finance, Elsevier, vol. 28(10), pages 2353-2368, October.
- Ferrier, Gary D. & Lovell, C. A. Knox, 1990. "Measuring cost efficiency in banking : Econometric and linear programming evidence," Journal of Econometrics, Elsevier, vol. 46(1-2), pages 229-245.
- A. Illarionov, 1999. "How The Russian Financial Crisis Was Organized [I]," Problems of Economic Transition, M.E. Sharpe, Inc., vol. 41(11), pages 7-28, March.
- Peresetsky, Anatoly A. & Karminsky, Alexandr A. & Golovan, Sergei V., 2004. "Probability of default models of Russian banks," BOFIT Discussion Papers 21/2004, Bank of Finland, Institute for Economies in Transition.
- English, M. & Grosskopf, S. & Hayes, K. & Yaisawarng, S., 1993. "Output allocative and technical efficiency of banks," Journal of Banking & Finance, Elsevier, vol. 17(2-3), pages 349-366, April.
When requesting a correction, please mention this item's handle: RePEc:eer:wpalle:06-01e. 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: (Anton Pashchenko)
If references are entirely missing, you can add them using this form.