Dj Vu All Over Again The Causes of UD、233该224似曾相识一遍你的原因.S. Commercial .pptx

Déjà Vu All Over Again: The Causes of U.S. Commercial Bank Failures This Time Around by Rebel A. Cole Lawrence J. White  DePaul University NYU Journal of Financial Services Research, Forthcoming 2011 Annual Meetings of the Financial Management Association Denver, CO Oct. 20, 2011 Summary In this study, we analyze the determinants of bank failures occurring during 2009 and 2010. We find that traditional proxies for the CAMELS components, do an excellent job in explaining the failures of banks that were closed during 2009, just as they did in the previous banking crisis of 1985 – 1992. Summary C-A-E-L proxies include: C: Ratio of Total Equity to Total Assets A: Ratio of Nonperforming Assets to Total Assets NPA =PD30-89 + PD90 + Nonaccrual + REO E: Ratio of Net Income to Total Assets L: Ratio of Liquid Assets to Total Assets Liquid Assets = Cash + Securities Summary We also find that Construction Development lending and reliance upon Brokered Deposits for funding are associated with higher failure rates. Surprisingly, we do not find that Residential Mortgages played a significant role in determining which banks failed and which banks survived. Summary Also, these results are remarkably robust; they hold going back in time as far as five years prior to 2009. Out-of-Sample Forecasts are highly accurate as shown by the tradeoff in Type 1 versus Type 2 Errors, or, alternatively, by Receiver Operating Characteristics (“ROC”) curves. Introduction Why did the number of U.S. bank failures spike upwards in 2008 and 2009? During 2000 – 2007, only 31 U.S. commercial banks failed. During 2008 and 2009, the number of failures rose to 30 and 119, respectively. During 2010, 132 commercial banks failed, and the FDIC is on track to close more than 100 banks during 2011. Introduction The obvious