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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| Format: | Thesis |
| Language: | English |
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2008
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| Online Access: | http://hdl.handle.net/10356/7850 |