Διαχρονική εξέλιξη και σύγκριση των δεικτών πιθανότητας πτωχεύσεως τραπεζών

Καλαϊτζή, Μαρία Ε.

Master Thesis

Author

Καλαϊτζή, Μαρία Ε.

Date

2012-10-04

Abstract

The thesis examines the historical evolution of three indicators of the banks' default likelihood: the z-score, the CDS and the credit ratings. Z-score is calculated from bank accounts and, therefore, 'sees into the past'. In contrast, the other two indicators 'see into the future', reflecting the expectations of investors who trade CDS and credit rating organizations who estimate the credit ratings. As seen from the analysis, z-score is not reliable in times of crisis. In particular, from 2007 to 2010 shows an improvement for most banks. The credit ratings are affected by factors such as macroeconomic situation, economic cycles, regulation, reputation and competition, showing as a consistence, significant weaknesses. Among these are included their slow response, maintaining high overall credit ratings, easy degradation of 'junk bonds' and during recessions. As for CDS, the soaring price reflects the increase of credit risk. In this case we can distinguish between two cases: when the country affects the banks then the CDS of the country moves earlier (inability to support the banking sector), while when the bank affects the country then the CDS of the bank moves earlier (probability of causing bank panic). In conclusion, the most effective indicator of the banks' default likelihood is CDS, which moves quickly and reflects the climate and the ability of banks to be financed.