Predicting bank failures : a comparison of the Cox proportional hazards model and time-varying covariates model.
Cheng, Philip Yim Kwong.
Date of Issue2002
College of Business (Nanyang Business School)
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.
Nanyang Technological University