TY - JOUR
T1 - An application of the cox proportional hazards model to bank failure
AU - Lane, William R.
AU - Looney, Stephen W.
AU - Wansley, James W.
N1 - Copyright:
Copyright 2017 Elsevier B.V., All rights reserved.
PY - 1986
Y1 - 1986
N2 - The purpose of this study is to present the Cox proportional hazards model and to apply this model to the prediction of bank failures. The Cox model, which has been used extensively in biomedical applications, has not been previously employed in the finance literature. The principal advantage of the Cox model over other classification techniques is that it models the expected time to failure. Results of the study indicate that total classification accuracy of the Cox model is similar to that of discriminant analysis, although the Cox model produces somewhat lower type I errors. In a comparison of actual and predicted times to failure, the Cox model tends to identify bankruptcies prior to the actual failure date.
AB - The purpose of this study is to present the Cox proportional hazards model and to apply this model to the prediction of bank failures. The Cox model, which has been used extensively in biomedical applications, has not been previously employed in the finance literature. The principal advantage of the Cox model over other classification techniques is that it models the expected time to failure. Results of the study indicate that total classification accuracy of the Cox model is similar to that of discriminant analysis, although the Cox model produces somewhat lower type I errors. In a comparison of actual and predicted times to failure, the Cox model tends to identify bankruptcies prior to the actual failure date.
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U2 - 10.1016/S0378-4266(86)80003-6
DO - 10.1016/S0378-4266(86)80003-6
M3 - Article
AN - SCOPUS:85014448410
SN - 0378-4266
VL - 10
SP - 511
EP - 531
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 4
ER -