Abstract

GUTIERREZ RAMIREZ, Dulce María; GAGGERO SAGER, Luis Manuel; MARIN HERNANDEZ, Salvador  and  MUNOZ BLACK, Celso Joaquín. Proposed model for the identification and prediction of weak banks, in the context of the Basel Committee on Banking Supervision. Contad. Adm [online]. 2019, vol.64, n.4, e120.  Epub May 12, 2020. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2018.1770.

This paper proposes and describes an empirical research whose objective is to determine a model for the identification (which forms part of the BCBS guidelines of 2002 and 20151) and the prediction of weak banks, since detection of the identification or the prediction is a property desirable of any alarm system (Labatut, et al., 2009). The model is based on the application of discriminant analysis to nine Mexican banks in 1999, a year that was key to the stability and certainty of the Mexican financial system with the publication of the LPAB2 and the creation of IPAB3. The financial indicators considered have been used by Beaver, Altman and Ayala, and furthermore the context of this indicators is currently included into the framework of Basel II and III4. With the discriminant function obtained from proposed model and with base on study of the case, the model was proved with nine Mexican banks, who were involved in the Mexican banking crisis, resulting a 100% in the identification of their respective financial situation. In addition, this situation was predicted to four Mexican banks in the period 2000-2008 and a bank from the United States, affected by the sub-prime crisis, for the period 2000 2010; the prediction based on the empirical results agrees, in general, with the annual reports of the IPAB and with the opinions of presidents of the American bank. It is concluded that the proposed model can be used, in addition to the institutional early warning models, to predict if a bank is weak or not, considering, additionally to the effect on own resources the allowance for loan losses. It should be emphasized that, given the mathematical complexity of the discriminant analysis and the hypotheses involved, we implemented statistical techniques and algorithms for their development.

Keywords : Weak banks; Discriminant analysis; Financial ratios.

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