Skip navigation
Skip navigation

Forecasting bank failures: Timeliness versus number of failures

Li, Guo; Sanning, Lee W; Shaffer, Sherrill


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 recent data with few failures than for a model fitted to much older data with more failures.

CollectionsANU Research Publications
Date published: 2011
Type: Journal article
Source: Applied Economics Letters
DOI: 10.1080/13504851.2010.548777


File Description SizeFormat Image
01_Li_Forecasting_bank_failures:_2011.pdf149.67 kBAdobe PDFThumbnail

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  19 May 2020/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator