Forecasting Bank Failure: A Non-Parametric Frontier Estimation Approach

作者：Richard S. Barr, Lawrence M. Seiford, Thomas F. Siems · 发表于：Recherches économiques de Louvain · 年份：1994 · DOI：10.1017/s0770451800004590 · 被引用次数：160 · 研究领域：Efficiency Analysis Using DEA、Banking stability, regulation, efficiency、Financial Distress and Bankruptcy Prediction

Summary The dramatic rise in bank failures over the last decade has led to a search for leading indicators so that costly bailouts might be avoided. While the quality of a bank’s management is generally acknowledged to be a key contributor to institutional collapse, it is usually excluded from early-warning models for lack of a metric. This paper describes a new approach for quantifying a bank’s managerial efficiency, using a data-envelopment-analysis model that combines multiple inputs and outputs to compute a scalar measure of efficiency. This new metric captures an elusive, yet crucial, element of institutional success: management quality. New failure-prediction models for detecting a bank’s troubled status which incorporate this explanatory variable have proven to be robust and accurate, as verified by in-depth empirical evaluations, cost sensitivity analyses, and comparisons with other published approaches.