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

• 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
• Institution: Nanyang Technological University

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...