An application of the cox proportional hazards model to bank failure
An application of the cox proportional hazards model to bank failure
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DOI：
10.1016/s0378-4266(86)80003-6
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发表时间：
1986-12
影响因子：
3.7
通讯作者：
W. R. Lane;S. Looney;James W. Wansley
中科院分区：
文献类型：
--
作者：
W. R. Lane;S. Looney;James W. Wansley
本研究的目的是提出考克斯比例风险模型，并将其应用于银行倒闭的预测。考克斯模型，已被广泛用于生物医学应用，以前没有在金融文献中使用。与其他分类技术相比，考克斯模型的主要优点是它对预期失效时间进行建模。研究结果表明，总的分类精度的考克斯模型是类似的判别分析，虽然考克斯模型产生的I型错误稍低。在对实际和预测的破产时间进行比较时，考克斯模型倾向于在实际破产日期之前确定破产。
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.