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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


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