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L’impiego di “early warning systems” per la previsione delle crisi bancarie. Un’applicazione agli indicatori del Fondo Interbancario di Tutela dei Depositi

Listed author(s):
  • Giuseppe Vulpes

    (UniCredit Banca d'Impresa)

Since the second half of the ‘70s, those institutions aimed at granting the banking and financial system stability (Central Banks, Supervisory Authorities, Deposit Insurance Systems, etc.) have been employing monitoring techniques in order to evaluate the situation of banks, some of which makes use of statistical and econometric methodologies. The banking crises of the last twenty years have shown that a need exists to strengthen the tools which are currently used in ascertaining the state of a single bank, so that an intervention could be undertaken before problematic situations degenerate. The present essay, after a survey of the main techniques used for the evaluation of banks’ condition, employs one of the said techniques, a logit-model, to verify, on the one hand, its capability to predict the crisis state of a set of banks, and, on the other, to test the signalling effectiveness of the balance-sheet indicators of the Fondo Interbancario di Tutela dei Depositi (FITD), which have been employed as explanatory variables of the banks state. The results obtained with the econometric technique can be considered, on the whole, satisfying: it is able to predict correctly the banks state in the 80% of the cases, showing, at the same time, a good signaling capability for the FITD indicators. Moreover, in addition to this, the exercise has shown that only a sub-set of the FITD indicators are statistically significant to explain the banks’ state, and that the statistical model has led to classification results which are significantly more precise than those obtained with the application of the system implied in the criteria of FITD’s Statutes.

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Paper provided by EconWPA in its series Finance with number 0411009.

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Length: 60 pages
Date of creation: 05 Nov 2004
Handle: RePEc:wpa:wuwpfi:0411009
Note: Type of Document - pdf; pages: 60
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  1. Gary Whalen & James B. Thomson, 1988. "Using financial data to identify changes in bank condition," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 17-26.
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