A Study of Risk Taking and Duration on Credit Department of Farmers’Associations
Date Issued
2006
Date
2006
Author(s)
Yen, Huang-Ping
DOI
zh-TW
Abstract
The purpose of my work was to address the following issues:It was found that duration(survival time) and risk on credit department of farmers’ associations. Is the timing of failure depend on different factor , and what is probability of eventual failure on credit department.
A credit department was defined as failed if it loan ratio above 15% during the 1995-2004 period. Over 2004 year, the sample was defined as censored data. The complete sample data were 184 units, and censored data were 90 units. Total samples have 274 units.
In order to address these issues , two methods were used for that purpose: nonparametric and parametric survival model. First ,we was used nonparametric survival model to analysis relationship between risk and time-to-failure on credit department of farmers’ associations. Next, we consider independent variables, and parameter estimates from the parametric survival model , such as standard log-logistic model, split population log-logistic model, and log-logistic model with time-varying covariate. Finally, we predit probability of eventual failure.
In conclusion, we have obtained the following from empirical results:
(1) It was taken in high percent that credit department of farmers’ associations overdue loan ratio above 15%.
(2) Notice that estimated hazard is not constant during research period, especially, hazard that increases for sufficiently long durations, and declines near years.
(3) We find that basic indicators of credit department of farmers’ associations condition ,such as cost-benefit management, net income,liquidity,location, and whether to joint deposit insurance are related significantly to the timing of credit department failure.
(4) Over research period, it still was risking for not failing credit department.
A credit department was defined as failed if it loan ratio above 15% during the 1995-2004 period. Over 2004 year, the sample was defined as censored data. The complete sample data were 184 units, and censored data were 90 units. Total samples have 274 units.
In order to address these issues , two methods were used for that purpose: nonparametric and parametric survival model. First ,we was used nonparametric survival model to analysis relationship between risk and time-to-failure on credit department of farmers’ associations. Next, we consider independent variables, and parameter estimates from the parametric survival model , such as standard log-logistic model, split population log-logistic model, and log-logistic model with time-varying covariate. Finally, we predit probability of eventual failure.
In conclusion, we have obtained the following from empirical results:
(1) It was taken in high percent that credit department of farmers’ associations overdue loan ratio above 15%.
(2) Notice that estimated hazard is not constant during research period, especially, hazard that increases for sufficiently long durations, and declines near years.
(3) We find that basic indicators of credit department of farmers’ associations condition ,such as cost-benefit management, net income,liquidity,location, and whether to joint deposit insurance are related significantly to the timing of credit department failure.
(4) Over research period, it still was risking for not failing credit department.
Subjects
存活分析
區隔母體存活分析
危機率
Survival Model
Split Population Survival Model
Hazard
Survival Probability
Type
thesis
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