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June 22, 2000
NOTE TO EDITORS
The article Capital Ratios as Predictors of Bank Failure appears in the latest issue of the New York Feds Economic Policy Review.
In a study of ratios designed to assess capital adequacy, authors Arturo Estrella, Sangkyun Park, and Stavros Peristiani find that even simple ratios can be informative and useful in predicting bank failures. The study comes as the Basel Committee on Banking Supervision is engaged in an effort to refine the 1988 Basel Accord.
Estrella, Park, and Peristiani examine the effectiveness of three capital ratios in forecasting bank failure over different time frames. The risk-weighted ratio--the most complex of the three--compares a banks capital with its risk-weighted assets, as defined in the Basel Accord.
The leverage ratio and the gross revenue ratio are simpler to compute: the first compares capital with total assets and the second with total interest and noninterest income. The authors ask whether each ratio is useful for bank regulation and whether it is significantly related to subsequent bank failure.
Their analysis shows that:
Arturo Estrella is a senior vice president, Sangkyun Park an economist, and Stavros Peristiani a research officer at the Federal Reserve Bank of New York.
Contact: Doug Tillett