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Working Paper 1999-023A Search | View by Year | View by Category | View by Author | View by JEL Code"The Contribution of On-Site Examination Ratings to an Empirical Model of Bank Failures"
This paper investigates how well regulator examinations predict bank failures, and how best to incorporate examination information into an econometric model of time-to-failure. We estimate proportional hazard models with time-varying covariates and find that examiner ratings help explain the failure hazard. Both the overall rating of a bank's condition and management, i.e., the composite CAMELS rating, and ratings of specific components contain information. In addition, we find that the marginal "effect" of ratings is non-linear, in that the impact of a rating downgrade on the probability of failure is larger, the weaker a bank's initial rating. Full Text - Acrobat PDF (279k) Notify Me of Updates for:
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