Abstract
Motivated by the observation that very few banks fail in normal years, we explore the impact of that pattern on the precision of a standard statistical failure model and discuss implications for regulation and risk management. Out-of-sample forecasting is found to be worse for a model fitted to recent data with few failures than for a model fitted to much older data with more failures.
Original language | English |
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Pages (from-to) | 1549-1552 |
Number of pages | 4 |
Journal | Applied Economics Letters |
Volume | 18 |
Issue number | 16 |
DOIs | |
Publication status | Published - Nov 2011 |