المستودع الأكاديمي جامعة المدينة

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

أعرض تسجيلة المادة بشكل مبسط

dc.creator Chen, Yu-Fu
dc.creator Funke, Michael
dc.creator Männasoo, Kadri
dc.date 2006
dc.date.accessioned 2013-10-16T07:02:58Z
dc.date.available 2013-10-16T07:02:58Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19111
dc.identifier ppn:510011071
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19111
dc.description 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.
dc.language eng
dc.relation CESifo working papers 1647
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject E58
dc.subject E44
dc.subject G21
dc.subject ddc:330
dc.subject banking
dc.subject financial stability
dc.subject bank fragility
dc.subject options
dc.subject Estonia
dc.subject Bankenkrise
dc.subject Prognoseverfahren
dc.subject Bankrisiko
dc.subject Bankinsolvenz
dc.subject Übergangswirtschaft
dc.subject Optionspreistheorie
dc.subject Schätzung
dc.subject Estland
dc.title Extracting leading indicators of bank fragility from market prices : Estonia focus
dc.type doc-type:workingPaper
dc.coverage 1991-2004


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