@techreport{Porath2004Estimating,
abstract = {A healthy banking system is a fundamental condition for financial stability. When assessing
the riskiness of the banking system, analysts often restrict their focus to large banks. This may
create a distorted picture in countries like Germany with fragmented banking systems. In
Germany, savings banks and cooperative banks taken together are important players in the
market. However, little is known about their default risk. The reason is that these banks
usually resolve financial distress within their own organisations, which means defaults are not
observable from the outside. In this paper we use a new dataset which contains information
about financial distress and financial strength of all German savings banks and cooperative
banks. The data have been gathered by the Deutsche Bundesbank for microprudential
supervision and have never before been exploited for macroprudential purposes. We use the
data to identify the main risk drivers. To this end we estimate a default prediction model
(hazard model). A second goal of the paper is to analyse the impact of macroeconomic
information for forecasting banks' defaults. Recent findings for the USA have cast some
doubt on the usefulness of macroeconomic information for banks' risk assessment. Contrary
to recent literature, we find that macroeconomic information significantly improves default
forecasts.},
author = {Daniel Porath},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {C23; G28; G21; 330; bank failure; default probability; time-discrete hazard rate; Bankinsolvenz; Sparkasse; Kreditgenossenschaft; Sch\"{a}tzung; Deutschland},
language = {eng},
number = {2004,06},
title = {Estimating probabilities of default for German savings banks and credit cooperatives},
type = {Discussion Paper, Series 2: Banking and Financial Supervision},
url = {http://hdl.handle.net/10419/19733},
year = {2004}
}
