– – Ruba988@hotmail.com : 1 2 – – – – : 2010 75 2012 – 1 2 3 4 2010
1 2010 2 2012
Multiple Linear Discriminant
Analysis Discriminant Analysis 1983 , Altman 1975 , Nie
Z= u1A1+u2A2 + ……..+unAn + Constant
Z Score U A n Stepwise Dermirguc-Kunt,&Detragiache,1998 ﻠ 10
1 0 1 CAMELS C A M DEA ﻠ DEA 1 1 0 2 E L S 3 2
Market Excess Return
MER 1
1- Wei Quanling, " Data Envelopment analysis", Chinese Science Bulletin Vol. 46,No. 16 Aug. 2001 .
2 2010 . 3
Anthony,S;Marcia,M.Financial institutions Management”a risk management approach,seven edition,2011.
MERi=[(nt=1(1+rit))-( nt=1(1+rmt))-1] t rmt rit )/ Ln Market Capitalization / (ME/EB) 1 0 2008 2007 2 2006 8 3 1
Fama, Eugene F. Market Efficiency, Long-Term Returns, and Behavioral Finance. Journal of Financial Economics 49, no. 3:283–306, 1998. 2 2008 3 2006
1 11 Financial crises (GUPTA,2002 (Demirguc-Kunt,&Detragiache,1998 - 10 - 2 - - 21 banking crises BAFIN 1997 47 (19) (16) (2) 10 30 CAMELS 1 -1 2009
Call Report Data Davies,1993
Krainer and Lopez (2001,2003)
Curry,Fissel,Hanweek(2003)
Call Report Data
Peter,2004 1.21 CAMELS capital adequacy 1 Assets Quality 1 2004
1 Managment 2 DEA
Kao and Liu(2004)
DEA John.Tatom,2011 Barr,Siems,1996 Earning 3 Liquidity 4
Sensitivity to Market Risk
1 2002 - 2 2005
3-Davies,E;Karim,D. comparing early warning systems for banking crises,journal of financial
stability,vo1.4,2008.
1 2.21 Peter,2004 2 2 .2 1 112 10 2010 2012 F 2010 -1 31 2 2004 -2 12 2010
212 10 SPSS
Multiple Linear Discriminant Analysis
4 / 1 F Wilks' lambda Wilks'Lambda F C .138 25 A .027 54.750 M .001 464.913 ME/EB / .000 1276.062 F 1،7 0.05 5.59 F 1،7 0.01 12.25 312
Standardized Canonical Discriminant Function
1975 Nie Y= r1A1+r2A2+……..+ rnAn Y r A n
2 2 22.935 / 13.753 4.012 -30.865 SPSS 412 :(Classification coefficients) x
Y= x1A1+x2A2+……..+ xnAn+ constant
Y x A n constant
3 3 -87723.091 -98704.044 -5364888.018 -6020307.065 1084420.282 1215909.171 / -18183.371 -20373.847 -460874.824 -579323.761 SPSS U 4 U 4 U 94.122 5617.832 -1127.038 / 18.775 1015.268 SPSS
Z =94.122C +5617.832A- 1127.038M+18.775ME/EB+1015.268 . 2 2 1.2.2 58.334 58.334 3 3 5 58 58 59 -57 -58 -59 SPSS