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Econometric Model For Default Risk In Banks

Author

Listed:
  • BATRANCEA, Ioan

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

  • STOIA, Ioan

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

  • CSEGEDI, Sandor

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

  • MOSCVICIOV, Andrei

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

  • NICHITA, Anca

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

  • ANDONE, Diana

    (Babes-Bolyai University, Teodor Mihali 58-60, Cluj-Napoca, Romania)

Abstract

Supervisors around the world recognize the advantages of rating systems, including a better allocation of resources. Owing to the development of national economy, the banking market and related regulations, Uniform Bank Rating System in Romania is continuously perfecting. Asset quality is one of the quantitative component of this model is particularly important because through indicators used in its determination reflects credit risk, the latter being the main cause of bank failures.

Suggested Citation

  • BATRANCEA, Ioan & STOIA, Ioan & CSEGEDI, Sandor & MOSCVICIOV, Andrei & NICHITA, Anca & ANDONE, Diana, 2013. "Econometric Model For Default Risk In Banks," Academica Science Journal, Economica Series, Dimitrie Cantemir University, Faculty of Economical Science, vol. 1(2), pages 35-43, May.
    • Handle: RePEc:tig:journl:v:1:y:2013:i:2:p:35-43
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    References listed on IDEAS

    as
    1. E. Nur Ozkan-Gunay & Mehmed Ozkan, 2007. "Prediction of bank failures in emerging financial markets: an ANN approach," Journal of Risk Finance, Emerald Group Publishing, vol. 8(5), pages 465-480, November.
    2. Gasbarro, Dominic & Sadguna, I Gde Made & Zumwalt, J Kenton, 2002. "The Changing Relationship Between CAMEL Ratings and Bank Soundness during the Indonesian Banking Crisis," Review of Quantitative Finance and Accounting, Springer, vol. 19(3), pages 247-260, November.
    3. Fotios Pasiouras & Chrysovalantis Gaganis & Constantin Zopounidis, 2006. "The impact of bank regulations, supervision, market structure, and bank characteristics on individual bank ratings: A cross-country analysis," Review of Quantitative Finance and Accounting, Springer, vol. 27(4), pages 403-438, December.
    4. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(2), pages 134-152, April.
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    More about this item

    Keywords

    JEL: G21;

    JEL classification:

    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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