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Verification of the Assumptions of the Cox Model. Case Study: Venezuelan commercial banks, 1996-2004

Author

Listed:
  • María Alejandra Ayala

    () (Universidad de Los Andes. Departamento de Estadística.)

  • Rafael Eduardo Borges

    () (Universidad de Los Andes. Departamento de Estadística.)

  • Gerardo Colmenares

    () (Universidad de Los Andes. Instituto de Investigaciones Económicas y Sociales (IIES).)

Abstract

The 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.

Suggested Citation

  • María Alejandra Ayala & Rafael Eduardo Borges & Gerardo Colmenares, 2007. "Verification of the Assumptions of the Cox Model. Case Study: Venezuelan commercial banks, 1996-2004," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 32(23), pages 27-43, january-j.
  • Handle: RePEc:ula:econom:v:32:y:2007:i:23:p:27-43
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    More about this item

    Keywords

    Survival analysis; Cox model; verification of assumptions; venezuelan commercial banks.;

    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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