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Modeling of Banks ‌Bankruptcy in Iran (Multivariate Statistical Analysis)
Azam Ahmadian , Gorji Mahsa
Abstract:   (521 Views)

In this paper we construct a modeling for detection of banks which are experiencing serious problems. Sample and variable set of the study contains 30 banks of Iran during 2006-2014 and their financial ratios. Well known multivariate statistical technique (principal component analysis) was used to explore the basic financial characteristics of the banks, and discriminant Logit and Probit models were estimated based on these characteristics. Results suggest that the model can be used as an analytical decision support tool in both on-site and off-site bank monitoring system to detect the banks which are experiencing serious problems.

JEL Classifications: C49, G21, G33    

Keywords: Bank failure, Principal component analysis, Logit, Probit
Full-Text [PDF 725 kb]   (281 Downloads)    
Type of Study: Research | Subject: Macroeconomics
Received: 2016/10/22 | Accepted: 2016/10/22 | Published: 2016/10/22
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Ahmadian A, Mahsa G. Modeling of Banks ‌Bankruptcy in Iran (Multivariate Statistical Analysis). 3. 2015; 10 (2) :1-24
URL: http://jme.mbri.ac.ir/article-1-192-en.html
Back to browse issues page Volume 10, Number 2 (2015)
Journal of Money and Economy Journal of Money And Economy
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