MARC Record from Library of Congress

LEADER: 02315cam a22003017a 4500
001 2004620328
003 DLC
005 20050107163914.0
007 cr |||||||||||
008 050107s2003 dcu sb f000 0 eng
010 $a 2004620328
040 $aDLC$cDLC
050 00 $aHG2401
100 1 $aGlennon, Dennis C.,$d1953-
245 12 $aA Markov model of bank failure estimated using an information-theoretic approach$h[electronic resource] /$cby Dennis Glennon and Amos Golan.
260 $aWashington, DC :$bOffice of the Comptroller of the Currency,$c[2003]
490 1 $aEconomic and policy analysis working paper ;$v2003-1
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 1/7/2005.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"In this paper, we develop an early-warning bank failure model designed specifically to capture the dynamic process underlying the transition from financially sound to closure. We model the transition process as a stationary Markov model and estimate the transition probabilities using a Generalized Maximum Entropy (GME) estimation technique. The GME estimation method is a member of the class of information-theoretic methods, is semi-parametric, and is better suited for estimating models in which the data are limited (e.g., few events, and data availability problems), highly collinear, and measured with error--conditions that often exist with micro-level banking data. In addition, this method allows us to incorporate prior information and impose fewer distributional assumptions relative to conventional maximum likelihood (or full information maximum likelihood) methods. We report estimates of the transition probabilities for nine transition states for the population of nationally chartered banks incorporating the effect of bank-specific and macroeconomic variables from 1984 through 1999"--Office of the Comptroller of the Currency web site.
650 0 $aBank failures.
700 1 $aGolan, Amos.
710 1 $aUnited States.$bOffice of the Comptroller of the Currency.
830 0 $aEconomic and policy analysis working paper (2000 : Online) ;$v2003-1.
856 40 $uhttp://www.occ.treas.gov/wp2003-1.htm