Calabrese, Raffaella; Giudici, Paolo - Dipartimento di Scienze Economiche e Aziendali, … - 2013
This paper considers the joint role of macroeconomic and bankspecific factors in explaining the occurrence of bank failures. As bank failures are, fortunately, rare, we apply a regression model, based on extreme value theory, that turns out to be more effective than classical logistic regression...