L’impiego di “early warning systems” per la previsione delle crisi bancarie. Un’applicazione agli indicatori del Fondo Interbancario di Tutela dei Depositi
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.
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.:
- 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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpfi:0411009. 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 references are entirely missing, you can add them using this form.