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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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Cited by:

  1. Cole, Rebel A. & Gunther, Jeffery W., 1995. "Separating the likelihood and timing of bank failure," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 1073-1089, September.
  2. Pavlos Almanidis & Robin C. Sickles, 2016. "Banking Crises, Early Warning Models, and Efficiency," International Series in Operations Research & Management Science, in: Juan Aparicio & C. A. Knox Lovell & Jesus T. Pastor (ed.), Advances in Efficiency and Productivity, chapter 0, pages 331-364, Springer.
  3. Robert DeYoung, 2000. "For how long are newly chartered banks financially fragile?," Working Paper Series WP-00-9, Federal Reserve Bank of Chicago.
  4. Cole, Rebel A. & Wu, Qiongbing, 2009. "Is hazard or probit more accurate in predicting financial distress? Evidence from U.S. bank failures," MPRA Paper 24688, University Library of Munich, Germany, revised 01 Aug 2010.
  5. Stephen M. Miller & Athanasios Noulas, 1995. "Explaining Recent Connecticut Bank Failures," Working papers 1995-01, University of Connecticut, Department of Economics.
  6. Jim Sánchez & Diego Restrepo & Andres Ramírez, 2018. "Inefficiency and Bank Failures: A Joint Bayesian Esti-mationof a Stochastic Frontier Model and a Hazards Model," Documentos de Trabajo CIEF 16977, Universidad EAFIT.
  7. Agnes Cheng, C.S. & He Huang, Henry & Li, Yinghua & Lobo, Gerald, 2010. "Institutional monitoring through shareholder litigation," Journal of Financial Economics, Elsevier, vol. 95(3), pages 356-383, March.
  8. Fungacova, Zuzana & Turk, Rima & Weill, Laurent, 2021. "High liquidity creation and bank failures," Journal of Financial Stability, Elsevier, vol. 57(C).
  9. Fungáčová, Zuzana & Turk-Ariss, Rima & Weill, Laurent, 2013. "Does excessive liquidity creation trigger bank failures?," BOFIT Discussion Papers 2/2013, Bank of Finland Institute for Emerging Economies (BOFIT).
  10. José E. Gómez-Gonzalez & Nicholas M. Kiefer, 2009. "Bank Failure: Evidence From The Colombian Financial Crisis," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 3(2), pages 15-31.
  11. Alandejani, Maha & Kutan, Ali M. & Samargandi, Nahla, 2017. "Do Islamic banks fail more than conventional banks?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 135-155.
  12. DeYoung, Robert, 2003. "The failure of new entrants in commercial banking markets: a split-population duration analysis," Review of Financial Economics, Elsevier, vol. 12(1), pages 7-33.
  13. Pilar B. Álvarez-Franco & Diego A. Restrepo-Tobón, 2016. "Managerial efficiency and failure of U.S. commercial banks during the 2007-2009 financial crisis: was this time different?," Revista Ecos de Economía, Universidad EAFIT, vol. 20(43), pages 4-22, December.
  14. Park, Sangkyun, 1995. "Market discipline by depositors: Evidence from reduced-form equations," The Quarterly Review of Economics and Finance, Elsevier, vol. 35(35), pages 497-514.
  15. Marcelo J. Braga & Valéria G. Fully Bressan & Enrico A. Colosimo & Aureliano A. Bressan, 2006. "Investigating the solvency of brazilian credit unions using a proportional hazard model," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 77(1), pages 83-106, March.
  16. Cantrell, Brett W. & Yust, Christopher G., 2018. "The relation between religiosity and private bank outcomes," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 86-105.
  17. Ke Wang & Darrell Duffie, 2004. "Multi-Period Corporate Failure Prediction With Stochastic Covariates," Econometric Society 2004 Far Eastern Meetings 747, Econometric Society.
  18. Zuzana Fungacova & Ms. Rima A Turk & Laurent Weill, 2015. "High Liquidity Creation and Bank Failures: Do They Behave Differently?," IMF Working Papers 2015/103, International Monetary Fund.
  19. Gazi I. Kara & Cindy M. Vojtech, 2017. "Bank Failures, Capital Buffers, and Exposure to the Housing Market Bubble," Finance and Economics Discussion Series 2017-115, Board of Governors of the Federal Reserve System (U.S.).
  20. Gerhard Hambusch & Sherrill Shaffer, 2012. "Forecasting Bank Leverage," Working Paper Series 176, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  21. Paola Bongini & Stijn Claessens & Giovanni Ferri, 2001. "The Political Economy of Distress in East Asian Financial Institutions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(1), pages 5-25, February.
  22. Berger, Allen N. & DeYoung, Robert, 1997. "Problem loans and cost efficiency in commercial banks," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 849-870, June.
  23. Robert DeYoung & Iftekhar Hasan & William C. Hunter, 1999. "The Determinants of De Novo Bank Survival," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-066, New York University, Leonard N. Stern School of Business-.
  24. Sambracos, Evangelos & Maniati, Marina, 2015. "Technical Efficiency of Shipping Banks: A DEA Approach," MPRA Paper 63131, University Library of Munich, Germany.
  25. Sanders, Austen & Willison, Matthew, 2021. "Measure for measure: evidence on the relative performance of regulatory requirements for small and large banks," Bank of England working papers 922, Bank of England.
  26. Sufian, Fadzlan & Abdul Majid, Muhamed Zulkhibri, 2007. "Bank Ownership, Characteristics and Performance: A Comparative Analysis of Domestic and Foreign Islamic Banks in Malaysia," MPRA Paper 12131, University Library of Munich, Germany, revised 01 Jun 2007.
  27. Bongini, Paola & Laeven, Luc & Majnoni, Giovanni, 2002. "How good is the market at assessing bank fragility? A horse race between different indicators," Journal of Banking & Finance, Elsevier, vol. 26(5), pages 1011-1028, May.
  28. Fungáčová, Zuzana & Turk-Ariss, Rima & Weill, Laurent, 2013. "Does excessive liquidity creation trigger bank failures?," BOFIT Discussion Papers 2/2013, Bank of Finland, Institute for Economies in Transition.
  29. DeYoung, Robert & Torna, Gökhan, 2013. "Nontraditional banking activities and bank failures during the financial crisis," Journal of Financial Intermediation, Elsevier, vol. 22(3), pages 397-421.
  30. Divino, Jose Angelo & Rocha, Líneke Clementino Sleegers, 2013. "Probability of default in collateralized credit operations," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 276-292.
  31. Viral V. Acharya & Lea Borchert & Maximilian Jager & Sascha Steffen, 2023. "Kicking the Can Down the Road: Government Interventions in the European Banking Sector," CRC TR 224 Discussion Paper Series crctr224_2023_446, University of Bonn and University of Mannheim, Germany.
  32. Betz, Frank & Oprică, Silviu & Peltonen, Tuomas A. & Sarlin, Peter, 2014. "Predicting distress in European banks," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 225-241.
  33. Marcelo Dabós & Walter Sosa Escudero, 2004. "Explaining and predicting bank failure using duration models: the case of Argentina after the Mexican crisis," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 31-49, June.
  34. Pierluigi Bologna, 2015. "Structural Funding and Bank Failures," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 81-113, February.
  35. Dean Fantazzini & Silvia Figini, 2009. "Random Survival Forests Models for SME Credit Risk Measurement," Methodology and Computing in Applied Probability, Springer, vol. 11(1), pages 29-45, March.
  36. Arena, Marco, 2008. "Bank failures and bank fundamentals: A comparative analysis of Latin America and East Asia during the nineties using bank-level data," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 299-310, February.
  37. Ando, Tomohiro, 2009. "Bayesian inference for the hazard term structure with functional predictors using Bayesian predictive information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1925-1939, April.
  38. Guo Li & Lee Sanning & Sherrill Shaffer, 2009. "Statistical opacity in the US banking sector," CAMA Working Papers 2009-16, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  39. Fabrizio Ferriani & Wanda Cornacchia & Paolo Farroni & Eliana Ferrara & Francesco Guarino & Francesco Pisanti, 2019. "An early warning system for less significant Italian banks," Questioni di Economia e Finanza (Occasional Papers) 480, Bank of Italy, Economic Research and International Relations Area.
  40. Shaffer, Sherrill, 2012. "Bank failure risk: Different now?," Economics Letters, Elsevier, vol. 116(3), pages 613-616.
  41. Fadzlan Sufian, 2012. "For which option is credit risk more representative on China banks' total factor productivity," China Finance Review International, Emerald Group Publishing Limited, vol. 2(2), pages 180-202, April.
  42. repec:zbw:bofitp:2013_002 is not listed on IDEAS
  43. Koresh Galil & Margalit Samuel & Offer Moshe Shapir & Wolf Wagner, 2023. "Bailouts and the modeling of bank distress," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 7-30, February.
  44. Evžen Kočenda & Ichiro Iwasaki, 2022. "Bank survival around the world: A meta‐analytic review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(1), pages 108-156, February.
  45. Richard Chamboko & Jorge M. Bravo, 2016. "On the modelling of prognosis from delinquency to normal performance on retail consumer loans," Risk Management, Palgrave Macmillan, vol. 18(4), pages 264-287, December.
  46. Sun, Junjie & Wu, Deming & Zhao, Xinlei, 2018. "Systematic risk factors and bank failures," Journal of Economics and Business, Elsevier, vol. 98(C), pages 1-18.
  47. Mr. Martin Cihak & Simon Wolfe & Mr. Klaus Schaeck, 2006. "Are More Competitive Banking Systems More Stable?," IMF Working Papers 2006/143, International Monetary Fund.
  48. Mare, Davide Salvatore, 2015. "Contribution of macroeconomic factors to the prediction of small bank failures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 25-39.
  49. Wenlang Zhang & Gaofeng Han & Steven Chan, 2014. "How Strong are the Linkages between Real Estate and Other Sectors in China?," Working Papers 112014, Hong Kong Institute for Monetary Research.
  50. Männasoo, Kadri & Mayes, David G., 2009. "Explaining bank distress in Eastern European transition economies," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 244-253, February.
  51. Alandejani, Maha & Asutay, Mehmet, 2017. "Nonperforming loans in the GCC banking sectors: Does the Islamic finance matter?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 832-854.
  52. Grodecka-Messi, Anna & Kenny, Seán & Ögren, Anders, 2021. "Predictors of bank distress: The 1907 crisis in Sweden," Explorations in Economic History, Elsevier, vol. 80(C).
  53. Jos� Eduardo Gómez-González, 2012. "Failing and Merging as Competing Alternatives during Times of Financial Distress: Evidence from the Colombian Financial Crisis," International Economic Journal, Taylor & Francis Journals, vol. 26(4), pages 655-671, October.
  54. Chiorazzo, Vincenzo & D'Apice, Vincenzo & DeYoung, Robert & Morelli, Pierluigi, 2018. "Is the traditional banking model a survivor?," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 238-256.
  55. Viral V Acharya & Lea Borchert & Maximilian Jager & Sascha Steffen, 2021. "Kicking the Can Down the Road: Government Interventions in the European Banking Sector," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4090-4131.
  56. José Eduardo Gómez González & Ines Paola Orozco Hinojosa, 2010. "Un modelo de alerta temprana para el sistema financiero colombiano," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(62), pages 124-147, June.
  57. Joseph Mason, 2001. "Do Lender of Last Resort Policies Matter? The Effects of Reconstruction Finance Corporation Assistance to Banks During the Great Depression," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(1), pages 77-95, September.
  58. Carvalho, Jaimilton & Orrillo, Jaime & da Silva, Fernanda Rocha Gomes, 2020. "Probability of default in collateralized credit operations for small business," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
  59. Ijaz Hussain, 2013. "Estimating Firms’ Vulnerability to Short-Term Financing Shocks: The Case of Foreign Exchange Companies in Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 147-163, July-Dec.
  60. Dongcheol Kim & Inro Lee, 2020. "The financial distress pricing puzzle in banking firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1351-1384, June.
  61. Meral Varish Kiefer, 2014. "Bank failures and mergers in Turkey: 1992-2014," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 2(5), pages 31-49, October.
  62. Robert DeYoung, 2003. "The failure of new entrants in commercial banking markets: a split‐population duration analysis," Review of Financial Economics, John Wiley & Sons, vol. 12(1), pages 7-33.
  63. Sufian, Fadzlan, 2006. "The Efficiency Of Islamic Banking Industry: A Non-Parametric Analysis With Non-Discretionary Input Variable," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 14, pages 54-87.
  64. Faten Ben Bouheni & Hassan Obeid & Elena Margarint, 2022. "Nonperforming loan of European Islamic banks over the economic cycle," Annals of Operations Research, Springer, vol. 313(2), pages 773-808, June.
  65. Petr Jakubik & Eyup Kadioglu, 2022. "Factors affecting bank loan quality: a panel analysis of emerging markets," International Economics and Economic Policy, Springer, vol. 19(3), pages 437-458, July.
  66. Barbedo, Claudio Henrique da Silveira & Lemgruber, Eduardo Facó, 2009. "A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil," Emerging Markets Review, Elsevier, vol. 10(3), pages 179-190, September.
  67. Florian Schaffner, 2015. "Predicting US bank failures with internet search volume data," ECON - Working Papers 214, Department of Economics - University of Zurich.
  68. Henebry, Kathleen L., 1996. "Do cash flow variables improve the predictive accuracy of a Cox proportional hazards model for bank failure?," The Quarterly Review of Economics and Finance, Elsevier, vol. 36(3), pages 395-409.
  69. Duffie, Darrell & Saita, Leandro & Wang, Ke, 2007. "Multi-period corporate default prediction with stochastic covariates," Journal of Financial Economics, Elsevier, vol. 83(3), pages 635-665, March.
  70. Kočenda, Evžen & Iwasaki, Ichiro, 2020. "Bank survival in Central and Eastern Europe," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 860-878.
  71. Onkar Shivraj Swami & B. Nethaji & Jyoti Prakash Sharma, 2018. "Facebook Adoption in Indian Banks: An Empirical Investigation," Vision, , vol. 22(4), pages 356-364, December.
  72. Dolly Gaur & Dipti Ranjan Mohapatra, 2021. "Non-performing Assets and Profitability: Case of Indian Banking Sector," Vision, , vol. 25(2), pages 180-191, June.
  73. Salvador Climent-Serrano, 2019. "Effects of economic variables on NPLs depending on the economic cycle," Empirical Economics, Springer, vol. 56(1), pages 325-340, January.
  74. Ihsan Isik & M. Kabir Hassan, 2003. "Efficiency, Ownership and Market Structure, Corporate Control and Governance in the Turkish Banking Industry," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(9‐10), pages 1363-1421, December.
  75. Thomas B. King & Daniel A. Nuxoll & Timothy J. Yeager, 2006. "Are the causes of bank distress changing? can researchers keep up?," Review, Federal Reserve Bank of St. Louis, vol. 88(Jan), pages 57-80.
  76. Karina ALVES & Aquiles KALATZIS & Alberto BORGES MATIAS, 2009. "Survival Analysis of Private Banks in Brazil," EcoMod2009 21500002, EcoMod.
  77. Balla, Eliana & Mazur, Laurel C. & Prescott, Edward Simpson & Walter, John R., 2019. "A comparison of community bank failures and FDIC losses in the 1986–92 and 2007–13 banking crises," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 1-15.
  78. John A. Tatom & Reza Houston, 2011. "Predicting Failure in the Commercial Banking Industry," NFI Working Papers 2011-WP-27, Indiana State University, Scott College of Business, Networks Financial Institute.
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  83. Lin, Ching-Chung & Yang, Shou-Lin, 2016. "Bank fundamentals, economic conditions, and bank failures in East Asian countries," Economic Modelling, Elsevier, vol. 52(PB), pages 960-966.
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  86. Sahut, Jean-Michel & Mili, Mehdi, 2011. "Banking distress in MENA countries and the role of mergers as a strategic policy to resolve distress," Economic Modelling, Elsevier, vol. 28(1-2), pages 138-146, January.
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  116. Cullen F. Goenner, 2020. "Uncertain times and early predictions of bank failure," The Financial Review, Eastern Finance Association, vol. 55(4), pages 583-601, November.
  117. Julapa Jagtiani & James Kolari & Catharine Lemieux & G. Hwan Shin, 2003. "Early warning models for bank supervision: Simpler could be better," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 27(Q III), pages 49-60.
  118. Gogas, Periklis & Papadimitriou, Theophilos & Agrapetidou, Anna, 2018. "Forecasting bank failures and stress testing: A machine learning approach," International Journal of Forecasting, Elsevier, vol. 34(3), pages 440-455.
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  120. Santosh Kumar Shrivastav & P. Janaki Ramudu, 2020. "Bankruptcy Prediction and Stress Quantification Using Support Vector Machine: Evidence from Indian Banks," Risks, MDPI, vol. 8(2), pages 1-22, May.
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