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Indexed by:会议论文

Date of Publication:2010-08-24

Included Journals:EI、Scopus

Abstract:Using an option-based approach, this paper constructs a distress warning model for Chinese commercial banks and analyzes the distress situations of China's 14 listed commercial banks with the samples in 2008. According to the empirical results, we obtain two valuable conclusions that the option-based approach is valid in distress warning of Chinese banking and the distance-to-distress is more sensitive to the interest rate than to the distress barrier. The study results also show that China's 14 listed commercial banks all appear to be safe because of their positive values of distance-to-distress and the state-owned banks have the best distress situations. ? 2010 IEEE.