Arbeitspapier

Extracting leading indicators of bank fragility from market prices : Estonia focus

Banking reform has proved to be one of the most problematic elements of economic transition in central and Eastern Europe. Therefore the paper considers the development of the Estonian banking sector and derives individual banks´ fragility scores during transition. To this end we use option-based tools and equity prices to estimate distance-to-default measures of banks´ distress probabilities. Overall, the results suggest that market indicators are moderately useful for anticipating future financial distress and rating changes in transition economies. The implication for an effective supervisory framework is to use a plurality of risk scores when assessing bank vulnerability.

Sprache
Englisch

Erschienen in
Series: CESifo Working Paper ; No. 1647

Klassifikation
Wirtschaft
Central Banks and Their Policies
Financial Markets and the Macroeconomy
Banks; Depository Institutions; Micro Finance Institutions; Mortgages
Thema
banking
financial stability
bank fragility
options
Estonia
Bankenkrise
Prognoseverfahren
Bankrisiko
Bankinsolvenz
Übergangswirtschaft
Optionspreistheorie
Schätzung
Estland

Ereignis
Geistige Schöpfung
(wer)
Chen, Yu-Fu
Funke, Michael
Männasoo, Kadri
Ereignis
Veröffentlichung
(wer)
Center for Economic Studies and ifo Institute (CESifo)
(wo)
Munich
(wann)
2006

Handle
Letzte Aktualisierung
20.09.2024, 08:21 MESZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Chen, Yu-Fu
  • Funke, Michael
  • Männasoo, Kadri
  • Center for Economic Studies and ifo Institute (CESifo)

Entstanden

  • 2006

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