Although the probability of default (PD) modeling has reached a great maturity in both academia and business, for the Italian case we demonstrate that banks' available PD models would be misleading if today applied directly to Italian banks. We argue that what determines the PD of Italian banks,...

This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of performance indicators, namely distance-to-default, taking unobserved common factors into account. We show that common factors are important in the performance of banks and...

Using a large panel of US banks over the period 2008-2013, this paper proposes an early warning framework to identify bank heading to bankruptcy. We conduct a comparative analysis based on both Canonical Discriminant Analysis and Logit models to examine and to determine the most accurate one....

Forecasting firms' earnings has long been an interest of market participants and academics. Traditional forecasting studies in a multivariate time series setting do not take into account that the timing of data release for a specific time period of observation is often spread over several days...

In this paper, we compare the performance of two non-parametric methods of classification, Regression Trees (CART) and the newly Multivariate Adaptive Regression Splines (MARS) models, in forecasting bankruptcy. Models are implemented on a large universe of US banks over a complete market cycle...

The research examines an approach to forecast return on equity using leading economic indicators for short periods in banks. ROE is one of the most important ratios for performance measurement. Its adequacy is necessary for competitiveness, attract funding in financial markets, accumulate...

Regional banks as savings and cooperative banks are widespread in continental Europe. In the aftermath of the financial crisis, however, they had problems keeping their profitability which is an important quantitative indicator for the health of a bank and the banking sector overall. We use a...

Purpose of the article: Profitability is one of the most important ratios for performance measurement in any competitive commercial bank and key source to fund future working capital and investments needs. This leads to necessity to investigate topics related to profitability and applicability...

This study investigates the efficacy of the Prophet model by Facebook with respect to forecasting bank capital ratios. Bank financial ratios and macroeconomic information are combined to forecast total risk-adjusted capital ratios for 19 large U.S. banks. Using a sample period from March 2005 to...