Forecasting bank failures: Timeliness versus number of failures
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.
|Collections||ANU Research Publications|
|Source:||Applied Economics Letters|
|01_Li_Forecasting_bank_failures:_2011.pdf||149.67 kB||Adobe PDF||Request a copy|
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