Failure Prediction of Norwegian Banks: A Logit Approach

摘要: Abstract Norges Bank has since 1989 been using a risk index for banks. The purpose of this is to identify potential problem banks, and obtain general picture the health banking industry. In 1994 was reconstructed based on research by Sigbjorn Atle Berg Barbro Hexeberg. Using Norwegian bank crisis 1988-1993 as their estimation period they concluded that it would be sufficient include four indicators in index. comprising these left unchanged 1994, while sector experienced substantial structural changes. Thus, need re-estimate clearly present. paper logit model estimated observations from 2000-2005. competition with 23 new indicators, none current are included recommended This underlines such at regular intervals. order ensure good properties during deeper than one after 2000, predicting also tested eleven failed banks 1990-93. gives strong early signals well advance before culminates all includes following six indicators: (1) capital adequacy ratio (2) Ratio Residential mortgages Gross lending (3) An expected loss measure (4) A concentration (5) return assets (6) Bank’s liquidity indicator