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J. Mon. Ec. 2015, 10(2): 1-24 Back to browse issues page
Modeling of Banks ‌Bankruptcy in Iran (Multivariate Statistical Analysis)
Azam Ahmadian 1, Gorji Mahsa
1- Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran
Abstract:   (3296 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]   (1810 Downloads)    
Type of Study: Original Research - Theoric | Subject: Macroeconomics
Received: 22 Oct 2016 | Accepted: 22 Oct 2016 | Published: 22 Oct 2016
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Ahmadian A, Mahsa G. Modeling of Banks ‌Bankruptcy in Iran (Multivariate Statistical Analysis). J. Mon. Ec.. 2015; 10 (2) :1-24
URL: http://jme.mbri.ac.ir/article-1-192-en.html


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Volume 10, Issue 2 (Spring 2015) Back to browse issues page
Journal of Money and Economy Journal of Money And Economy
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