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. |
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Other Authors: | Low, Chan Kee |
Format: | Theses and Dissertations |
Language: | English |
Published: |
2008
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Subjects: | |
Online Access: | http://hdl.handle.net/10356/7850 |
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Institution: | Nanyang Technological University |
Language: | English |
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