Predicting Bank Insolvency in the Middle East and North Africa

Calice, Pietro

World Bank Group, Washington, DC

关键词: ACCOUNTABILITY;    ACCOUNTING;    ASSET PORTFOLIO;    ASSET RATIO;    ASSETS RATIO;   

DOI  :  10.1596/1813-9450-6969
RP-ID  :  WPS6969

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

This paper uses a panel of annualobservations for 198 banks in 19 Middle East and NorthAfrica countries over 2001-12 to develop an early warningsystem for forecasting bank insolvency based on amultivariate logistic regression framework. The results showthat the traditional CAMELindicators are significantpredictors of bank insolvency in the region. The predictivepower of the model, both in-sample and out-of-sample, isreasonably good, as measured by the receiver operatingcharacteristic curve. The findings of the paper suggest thatbanking supervision in the Middle East and North Africacould be strengthened by introducing a fundamentals-based,off-site monitoring system to assess the soundness offinancial institutions.