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• W3134382191 abstract "This paper develops an early warning model (EWM) for a micro-macro analysis of individual and aggregated bank vulnerabilities in Ukraine. We applied a stepwise logit for predicting defaults at Ukrainian banks based on a panel bank and macro-level data from Q1 2009 to Q3 2019. Next, we aggregated individual bank default probabilities to provide policymakers with information about the general state of the financial system with a particular focus on generating a signal for countercyclical capital buffer (CCB) activation. Our key findings suggest that the probability of default exceeding 11% could signal about a vulnerable state in a bank and, in the aggregated model, in a financial system in general. The aggregated model successfully issues an out-of-sample signal of a systemic crisis four periods ahead of the start of the 2014-2015 turmoil." @default.
• W3134382191 created "2021-03-15" @default.
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• W3134382191 date "2021-02-25" @default.
• W3134382191 modified "2023-10-11" @default.
• W3134382191 title "Predicting Bank Defaults in Ukraine: A Macro-Micro Perspective" @default.
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• W3134382191 doi "https://doi.org/10.26531/vnbu2020.250.03" @default.
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