Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.

Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.

As a contribution to bank regulation by improving the accuracy of predicting failed banks, I first illustrate the use of martingale and other residuals as diagnostic checks for Cox’s proportional hazards model. Second, I discuss and substantiate the claim that a time-varying covariates model is supe...

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Main Author: Cheng, Philip Yim Kwong.
Other Authors: Low, Chan Kee
Format: Theses and Dissertations
Language:English
Published: 2008
Subjects:
DRNTU::Business::Finance::Banking
Online Access:http://hdl.handle.net/10356/7850
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Institution: Nanyang Technological University
Language: English
id sg-ntu-dr.10356-7850
record_format dspace
spelling sg-ntu-dr.10356-78502024-01-12T10:33:11Z Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model. Cheng, Philip Yim Kwong. Low, Chan Kee Nanyang Business School DRNTU::Business::Finance::Banking As a contribution to bank regulation by improving the accuracy of predicting failed banks, I first illustrate the use of martingale and other residuals as diagnostic checks for Cox’s proportional hazards model. Second, I discuss and substantiate the claim that a time-varying covariates model is superior to the Cox model as a bank failure model. Doctor of Philosophy (NBS) 2008-09-18T07:52:14Z 2008-09-18T07:52:14Z 2002 2002 Thesis http://hdl.handle.net/10356/7850 en Nanyang Technological University 128 p. application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
language English
topic DRNTU::Business::Finance::Banking
spellingShingle DRNTU::Business::Finance::Banking
Cheng, Philip Yim Kwong.
Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
description As a contribution to bank regulation by improving the accuracy of predicting failed banks, I first illustrate the use of martingale and other residuals as diagnostic checks for Cox’s proportional hazards model. Second, I discuss and substantiate the claim that a time-varying covariates model is superior to the Cox model as a bank failure model.
author2 Low, Chan Kee
author_facet Low, Chan Kee
Cheng, Philip Yim Kwong.
format Theses and Dissertations
author Cheng, Philip Yim Kwong.
author_sort Cheng, Philip Yim Kwong.
title Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
title_short Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
title_full Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
title_fullStr Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
title_full_unstemmed Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
title_sort predicting bank failures : a comparison of the cox proportional hazards model and time-varying covariates model.
publishDate 2008
url http://hdl.handle.net/10356/7850
_version_ 1789483232826228736

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