Li, Guo; Sanning, Lee; Shaffer, Sherrill - In: Applied Economics Letters 18 (2011) 16, pp. 1549-1552
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...