Optimal Weights and Stress Banking Indexes

Arbeitspapier

The goal of this paper is to provide alternative approaches to generate indexes in order to assess banking distress. Specifically, we focus on two groups of indexes that are based on the signalling approach and on the zero in ated Poisson models. The results show that the indexes based on these approaches perform better than those constructed by using the variance-equal and the factor analysis methods. Specifically, they are better at capturing relevant events, signalling distress episodes and forecasting properties. The importance of this study is two-fold: first, we contribute extra information that can be useful for forecasting banking system soundness in the aim of preventing future financial crises; second we provide alternative methods for measuring banking distress.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IRENE Working Paper ; No. 13-02

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages ; Bankruptcy; Liquidation ; Mergers; Acquisitions; Restructuring; Voting; Proxy Contests; Corporate Governance
• Subject: Stress-banking indexes ; Signalling approach ; Limited dependent variable methods

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Puddu, Stefano
• Event: Veröffentlichung
• (who): University of Neuchâtel, Institute of Economic Research (IRENE)
• (where): Neuchâtel
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/191467
• Last update: 10.03.2025, 11:43 AM CET