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Physical Sciences and Mathematics
University of Nevada, Las Vegas
Autoregressive Integrated Moving Average (ARIMA); Bank Failures – Mathematical models; Big business; Business enterprises—Size; Conditional Test; ERR; ERRR; Poisson process
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Arima Models For Bank Failures: Prediction And Comparison, Fangjin Cui
Arima Models For Bank Failures: Prediction And Comparison, Fangjin Cui
UNLV Theses, Dissertations, Professional Papers, and Capstones
The number of bank failures has increased dramatically over the last twenty-two years. A common notion in economics is that some banks can become "too big to fail." Is this still a true statement? What is the relationship, if any, between bank sizes and bank failures? In this thesis, the proposed modeling techniques are applied to real bank failure data from the FDIC. In particular, quarterly data from 1989:Q1 to 2010:Q4 are used in the data analysis, which includes three major parts: 1) pairwise bank failure rate comparisons using the conditional test (Przyborowski and Wilenski, 1940); 2) development of the …