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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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7850 |
| _version_ | 1824457016484036608 |
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| author | Cheng, Philip Yim Kwong. |
| author2 | Low, Chan Kee |
| author_facet | Low, Chan Kee Cheng, Philip Yim Kwong. |
| author_sort | Cheng, Philip Yim Kwong. |
| collection | NTU |
| 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. |
| first_indexed | 2025-02-19T04:03:17Z |
| format | Thesis |
| id | ntu-10356/7850 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T04:03:17Z |
| publishDate | 2008 |
| record_format | dspace |
| spelling | ntu-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 |
| 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. |
| title | 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_short | 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 |
| topic | DRNTU::Business::Finance::Banking |
| url | http://hdl.handle.net/10356/7850 |
| work_keys_str_mv | AT chengphilipyimkwong predictingbankfailuresacomparisonofthecoxproportionalhazardsmodelandtimevaryingcovariatesmodel |