Predicting Distress in European Banks

@inproceedings{Betz2014PredictingDI,
  title={Predicting Distress in European Banks},
  author={Frank S. Betz and Silviu Opricǎ and Tuomas A. Peltonen and Peter Sarlin},
  year={2014}
}
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state interventions and mergers in distress. The signals of the early-warning model are calibrated not only according to the policymaker’s preferences between type I and II errors, but also to take into account… CONTINUE READING

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