Predicting bank failures and intertemporal assessment of bank risk
Two concepts currently under consideration that may be used by regulators to compensate for the actuarial differences in risk among insured depository institutions are risk-based capital requirements and risk-based deposit insurance premia. Both concepts, however, require a methodology to assess the riskiness of the institution. This study develops and tests factors in an intertemporal framework that may be used to appropriately assess risk. The results of the study indicate that the time frame prior to possible insolvency of the institution is critical for both the appropriate factors and the weighting of the factors in a discriminant-type model. © 1989.
Journal of Business Research
Spahr, R. (1989). Predicting bank failures and intertemporal assessment of bank risk. Journal of Business Research, 19 (3), 179-185. https://doi.org/10.1016/0148-2963(89)90018-0