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- Title
DETERMINANTS OF FINANCIAL DISTRESS IN LARGE FINANCIAL INSTITUTIONS: EVIDENCE FROM U.S. BANK HOLDING COMPANIES.
- Authors
Zhang, Zhichao; Xie, Li; Lu, Xiangyun; Zhang, Zhuang
- Abstract
We investigate determinants of financial distress in large financial institutions based on the Distance-to-Default and Z-Scores measures. Using data of U.S. bank holding companies ( BHCs), we find that the housing price index is a consistently significant factor across all BHCs and the non-performing loan ratio is the most powerful indicator for financial distress. Short-term wholesale funding is also a reliable default risk indicator. We additionally find that all the three regulatory capital requirements are very important for controlling default risk, particularly in the post-crisis period. ( JEL C53, G14, G21, G28)
- Subjects
UNITED States; FINANCIAL crises; FINANCIAL institutions; BANK holding companies; NONPERFORMING loans; COUNTERPARTY risk; CAPITAL requirements
- Publication
Contemporary Economic Policy, 2016, Vol 34, Issue 2, p250
- ISSN
1074-3529
- Publication type
Article
- DOI
10.1111/coep.12105