Are early market indicators of financial deterioration accurate for Too Big To Fail banks? Evidence from East Asia

Isabelle Distinguin; Amine Tarazi

Article dans une revue

Are early market indicators of financial deterioration accurate for Too Big To Fail banks? Evidence from East Asia

Isabelle Distinguin ¹ Amine Tarazi ¹

1 LAPE - Laboratoire d'Analyse et de Prospective Economique

Abstract : This paper investigates whether market information is reliable to predict financial deterioration of large Too Big To Fail banks in Asia. A stepwise logit model is first estimated to isolate the optimal set of accounting indicators to predict rating downgrades. The model is then extended to assess the added value of market indicators and to test for the possible presence of a Too Big To Fail effect. While some results show that market indicators bring in additional information in the prediction process, there is consistent evidence of a Too Big To Fail effect.

Keywords : Bank Bank Failure Bank Risk East Asia

Type de document :

Article dans une revue

Domaine :

Sciences de l'Homme et Société / Economies et finances

Liste complète des métadonnées

https://hal-unilim.archives-ouvertes.fr/hal-00785042
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Soumis le : mercredi 6 février 2013 - 16:11:35
Dernière modification le : mercredi 20 octobre 2021 - 01:31:06
Archivage à long terme le : : mardi 7 mai 2013 - 03:55:51