Prediction of Bank Failure in East Asia： Survival Analysis Approach
Date Issued
2008
Date
2008
Author(s)
Peng, Szu-Jung
Abstract
During the last decade, episodes of banking crises have become more frequent. In these countries suffered from banking crises, not only hurt financial sector and economic development, but also result in inestimable cost to society. Thus, establishing an early warning system to prevent bank failure and stabilize regional banking system is very important. his paper will analyze the determinants that may result to the bank failure between 2001 and 2006, using a dataset of 253commercial banks operating in China, Hong Kong, Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand (of a sample of 253 banks,62experience distress). The analysis will extract the common factors by means of principle component analysis out of factor analysis, and further apply the parametric survival model.ccording to the empirical findings, we find that the survival time best follow the Log-logistic distribution. Based on the characteristics of hazard function under Log-logistic distribution, it can be inferred that the hazard rate of banks shows a pattern of increase followed by decrease as the survival time increases. Furthermore, it can be found out that operative factor, asset quality factor, M2 to foreign exchange ratio, lending rate to deposit rate ratio and credit claim to private sector to GDP ratio is significantly affect the duration and hazard rate of banks.
Subjects
East Asia
bank failure
banking crises
factor analysis
survival analysis
SDGs
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-97-R95323038-1.pdf
Size
23.53 KB
Format
Adobe PDF
Checksum
(MD5):8b76d733bd45050c03dfa10201d1f2ef