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 |
|---|---|
| Pages (from-to) | 1549-1552 |
| Number of pages | 4 |
| Journal | Applied Economics Letters |
| Volume | 18 |
| Issue number | 16 |
| DOIs | |
| Publication status | Published - Nov 2011 |