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We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory purposes in the year 2001. To this end, we introduce the notion of well-behaved forecast systems. Furthermore, we provide a series of statistical tools to perform our analyses....
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This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression … analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model …, deposits and in some cases the ratio of non-performing loans, are the most significant predictors of bank failure in both Japan …
Persistent link: https://www.econbiz.de/10013121773
This paper empirically investigates the causes of bank failures in Japan and Indonesia. Using logistic regression … analysis of financial ratios, we explore the usefulness of domestic bank failure prediction models with a cross-country model …, deposits and in some cases the ratio of non-performing loans, are the most significant predictors of bank failure in both Japan …
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Our concern in this article is two-fold: first to see whether the determinants of bank distress and failure have been … risk-weighted counterparts as predictors, despite the focus on the later in the Basel framework. This paper examines bank … technique and discrete survival time analysis, to predict bank failures and draw inferences about the stability of contributing …
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