Forecasting bank failures: timeliness versus number of failures

Motivated by the observation that very few banks fail in normal years, we explore the impact of that pattern on the precision of a standard statistical failure model and discuss implications for regulation and risk management. Out-of-sample forecasting is found to be worse for a model fitted to recent data with few failures than for a model fitted to much older data with more failures.

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Year of publication:	2011
Authors:	Li, Guo ; Sanning, Lee ; Shaffer, Sherrill
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 18.2011, 16, p. 1549-1552
Publisher:	Taylor & Francis Journals
Subject:	bank failure \| early warning \| rare events

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009278027