Analyzing the Early Warning of Bank Failure Models in Taiwan
Date Issued
2008
Date
2008
Author(s)
Lin, Wei-Chu
Abstract
The purpose of this research is to analysis the early warning of bank failure models using bank financial indicators and discuss the hazard function of healthy and default banks in Taiwan from 2002 to 2007, the year 2001 is a benchmark year. Factor analysis using Principal components method, and rotating the factor-loading matrix by the varimax method, this research shows that a bank will fail is a function of variables related to six financial indicators, including banking operations , assets quality, bank scale, capital adequacy, liquidity and growing. Empirical results show that the parametric model is superior to the semi-parametric model and the non-parametric model, as the majority of the regressors in the accelerated failure-time model are significant with the correct sign. Overall, the Log-logistic Model is advanced to indicate how the financial indicators can lead to the failure of the banks, and demonstrate good accuracy.
Subjects
censor
scale parameter
non-parametric model
semi-parametric model
parametric model
Cox proportional hazards model
parametric proportional hazards models
accelerated failure-time models
Type
thesis
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