Verification of the Assumptions of the Cox Model. Case Study: Venezuelan commercial banks, 1996-2004
AbstractThe proposal of mathematical models needs in almost all the cases the verification of some assumptions. The Cox model is a regression model for survival data. The use of the Cox model without performing the verification of the assumptions is a common practice. In this paper, we present the methodology that should be followed to perform the verification of the four main assumptions of the Cox model, and it is only after this verification that we can be sure that the model is valid. This methodology is used to verify the assumptions and, in consequence, the validity of the Cox model in which the four finance ratios that describe the risk of fusion in the commercial banks in Venezuela, between 1996 and 2004 are identified.
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Bibliographic InfoArticle provided by Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela in its journal Economia.
Volume (Year): 32 (2007)
Issue (Month): 23 (january-june)
Contact details of provider:
Postal: Facultad de Ciencias Económicas y Sociales. Instituto de Investigaciones Económicas y Sociales. Campus Universitario Liria, Edificio G, Tercer Nivel. Mérida 5101, Estado Mérida, Venezuela
Phone: +58 74 401111 ext. 1081
Fax: +58 74 401120
Web page: http://iies.faces.ula.ve/
More information through EDIRC
Survival analysis; Cox model; verification of assumptions; venezuelan commercial banks.;
Find related papers by JEL classification:
- C - Mathematical and Quantitative Methods
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models
- G - Financial Economics
- G2 - Financial Economics - - Financial Institutions and Services
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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