Application of Discrete-time Hazard Model in forecasting bankruptcy in banking industry

Autor:	蕭文彥
Druh dokumentu:	學位論文 ; thesis
Popis:	101 This paper continues Shumway(2001) studies on discrete time hazard model, the so called multi-period logistic regression model, to develop a bank failure early warning model. Different from log baseline hazard form proposed by Shumway, author present quadratic baseline hazard form based on the pattern of real default rate. By incorporating time-varying covariates, our model enables us to utilize macroeconomic and market variables, which cannot be incorporated into in a one-period model. We find that our model significantly outperforms the single period logit model and Log baseline hazard model with and without the macroeconomic and market variables at in-sample estimation. The improvement in accuracy comes both from the time-series bank-specific variables and from the time-series macroeconomic variables. Our research also shows that quadratic baseline hazard model outperforms Log baseline hazard model and single period logit model in out-of-sample prediction.
Databáze:	Networked Digital Library of Theses & Dissertations
Externí odkaz:	http://ndltd.ncl.edu.tw/handle/49963881554290873567 Zobrazit plný text záznamu