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
This study compares different empirical models to assess the probability of failure of Asian banks; ...
The ability to predict bank failure has become much more important since the mortgage foreclosure cr...
This study employs a semi-parametric Cox proportional hazard model to study the relationship between...
We use a simple dynamic hazard model with time-varying covariates to develop a bankfailure early war...
This research uses the Cox proportional hazard model and bank cash flow information to determine whe...
An explanation of how a Cox proportional hazards model can be used to identify both failed and healt...
This research contributes to the literature on bank failure prediction by augmenting the set of trad...
The recent dramatic increase in the corporate bankruptcy rate, coupled with a similar rate of increa...
From a survival analysis perspective, bank failure data are often characterized by small default rat...
We compare the out-of-sample forecasting accuracy of the time-varying hazard model developed by Shum...
The banking system has been a backbone for most developed and emerging economies. It provides suppor...
The paper delivers a multistate, continuous, nonhomogeneous Markov chain to present a COVID19 st...
Abstract: Although some literatures have devoted to applying different statistical methods to make p...
Summarization: This paper examines the problem of bank failure and proceeds to the development of ba...
Risk management has been a topic of great interest to Michael McAleer. Even as recent as 2020, his p...
This study compares different empirical models to assess the probability of failure of Asian banks; ...
The ability to predict bank failure has become much more important since the mortgage foreclosure cr...
This study employs a semi-parametric Cox proportional hazard model to study the relationship between...
We use a simple dynamic hazard model with time-varying covariates to develop a bankfailure early war...
This research uses the Cox proportional hazard model and bank cash flow information to determine whe...
An explanation of how a Cox proportional hazards model can be used to identify both failed and healt...
This research contributes to the literature on bank failure prediction by augmenting the set of trad...
The recent dramatic increase in the corporate bankruptcy rate, coupled with a similar rate of increa...
From a survival analysis perspective, bank failure data are often characterized by small default rat...
We compare the out-of-sample forecasting accuracy of the time-varying hazard model developed by Shum...
The banking system has been a backbone for most developed and emerging economies. It provides suppor...
The paper delivers a multistate, continuous, nonhomogeneous Markov chain to present a COVID19 st...
Abstract: Although some literatures have devoted to applying different statistical methods to make p...
Summarization: This paper examines the problem of bank failure and proceeds to the development of ba...
Risk management has been a topic of great interest to Michael McAleer. Even as recent as 2020, his p...
This study compares different empirical models to assess the probability of failure of Asian banks; ...
The ability to predict bank failure has become much more important since the mortgage foreclosure cr...
This study employs a semi-parametric Cox proportional hazard model to study the relationship between...