文章基本信息

标题：PROBABILISTIC PREDICTION OF BANK FAILURES WITH FINANCIAL RATIOS: AN EMPIRICAL STUDY ON TURKISH BANKS
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作者：Gamze Özel ; Nihal Ata Tutkun
期刊名称：Pakistan Journal of Statistics and Operation Research
印刷版ISSN：2220-5810
出版年度：2014
卷号：9
期号：4
页码：409-428
语种：English
出版社：College of Statistical and Actuarial Sciences
摘要：Banking risk management has become more important during the last 20 years in response to a worldwide increase in the number of bank failures. Turkey has experienced a series of economic and financial crisis since the declaration of Republic and banking system has the most affected sector from the results of these crises. This paper examines some bank failure prediction models using financial ratios. Survival, ordinary and conditional logistic regression models are employed in order to develop these prediction models. The empirical results indicate that the bank is more likely to go bankrupt if it is unprofitable, small, highly leveraged, and has liquidity problems and less financial flexibility to invest itself.
关键词：Bank Failure, Conditional Logistic Regression, Cox Regression, Financial Ratio, Hazard, Ordinary Logistic Regression.