Abstract:

The global financial crisis and, implicitly, financial imbalances has generated the need for an early wan-ling systems to predict, in a timely manner, the emergence and spread of banking crises. Macrostability deterioration can increase the country risk. The banking crises probability is presented using a logit model, based on indicators proposed by the European Commission. The indicators‘ power to emit early signals is captured using the Area Under the Receiver Operating Characteristic (AUROC), with a significant impact on sovereign risk.