Could Early Warning Systems Have Helped To Predict the Sub-Prime Crisis?

By E. Davis, D. Karim. National Institute Economic Review, 2008

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Assessing the Risk of Banking Crises – Revisited (2009, background): “This approach would be ideal if policymakers could express their preferences based on views about their relative costs (eg Demirgüç-Kunt and Detragiache (1998)).”
Financial Crises and Bank Failures: A Review of Prediction Methods (2010, background): “Davis and Karim [41] test whether EWS based on the Logit and binomial tree approaches (this technique is described below) could have helped predicting current subprime crisis in the US and UK.”
Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options (2014, methodology): “One of the challenges in early warning models is to ensure consistency in the definition of a banking crisis in order for it to be used as dependent variable (Davis and Karim, 2008a).”
Predicting Distress in European Banks (2014, methodology): “, 2003; Davis and Karim, 2008b; Lo Duca and Peltonen, 2013; Sarlin and Peltonen, 2013). Fuertes and Kalotychou (2006) show that accounting for time- and country-specific effects leads to better in-sample fit, while decreasing the predictive performance on out-of-sample data.”