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A proportional hazards model of bank failure: an examination of its usefulness as an early warning tool

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  • Gary Whalen
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    Abstract

    An explanation of how a Cox proportional hazards model can be used to identify both failed and healthy banks with a high degree of accuracy using a relatively small set of publicly available data.

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    File URL: http://www.clevelandfed.org/Research/Review/1991/91-q1-whalen.pdf
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    Bibliographic Info

    Article provided by Federal Reserve Bank of Cleveland in its journal Economic Review.

    Volume (Year): (1991)
    Issue (Month): Q I ()
    Pages: 21-31

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    Handle: RePEc:fip:fedcer:y:1991:i:qi:p:21-31:n:v.27no.1

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    Related research

    Keywords: Bank failures;

    References

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    1. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June.
    2. Richard E. Randall, 1989. "Can the market evaluate asset quality exposure in banks?," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 3-24.
    3. Gregory R. Gajewski, 1989. "Assessing the risk of bank failure," Proceedings 250, Federal Reserve Bank of Chicago.
    4. Keith R. Phillips, 1990. "The Texas index of leading economic indicators: a revision and further evaluation," Economic and Financial Policy Review, Federal Reserve Bank of Dallas, issue Jul, pages 17-25.
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