GRM 2010 GRM 2011

Abstract Details

 
AUTHOR NAME
 
Family Name:
AlMaghaireh
 
First Name:
Aktham
 
ABSTRACT OF PAPER
 
Title of Paper:
Predicting bank distress using a dynamic hazard model: An empirical analysis of GCC banks
 
Paper Proposal Text :
The recent subprime crisis has highlighted, once again, the importance of early warning systems (EWSs) in preventing banks from running into financial distress and bankruptcy. This study uses a dynamic hazard model with time-varying covariates to identify the leading indicators of bank distress and to estimate the bank distress probability in the GCC economies. Using a sample set contains 70 commercial banks over the time period 2000 – 2009, the results indicates that traditional, CAMEL-type variables-Tier 1 capital ratio, loan loss reserves, nonperforming loans, net interest income to total income, return on equity, interbank ratio, and liquid assets relative to deposit- are important leading indicators of bank distress. The results also show that smaller banks, lower efficiency banks, higher market power banks, and more diversified banks were more likely distressed. Furthermore, we find that distress are less likely in economies with higher both the official supervisory power and institutional development.

 
 
 

WITH THE GENEROUS SUPPORT OF