Bank's Default Modelisation and Regulatory Factors: An Application to Banks from Emerging Market Economies

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ID: 267675
2003
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Abstract
Our work follows the early warning signals litterature. We propose to test the validity of the CAMEL rating typology for bank's default modelisation in emerging markets. We focus explicitely on this type of economies and we also investigate the impact of several regulatory, institutional and legal factors on bank's default probability. Using a logit model applied to a database of defaulted banks in emerging markets, we find the principle results of the early warning signals models which follow the CAMEL typology. The proxy variables of bank solvability, assets' quality and liquidity, particularly loan losses provisions, management quality, profitability, and intermediation rate have a negative impact on the one year probability of bank's default. Also, the nationality of the first holding, deposits insurance system scheme, regulation and prudential supervision, and market structure have significant impact on bank's default probability in emerging market economies.
Reference Key
godlewski2003ssrnbank's Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Christophe J. Godlewski;Christophe J. Godlewski;
Journal SSRN Electronic Journal
Year 2003
DOI
10.2139/ssrn.588182
URL
https://sciprofiles.com/publication/view/ae225d0c0081c67b837911f425b3a82d
Keywords
regulatory logit model bank default early warning signal models camel rating institutional and legal factors emerging market economies

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