Modeling Bankruptcy Prediction Using Cox Regression Model with Time-Varying Covariates PDF Download
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Author: Graham Partington
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
We use a time-dependent Cox regression model with dynamic variables to estimate survival probabilities and make dynamic financial distress predictions for a sample of Australian firms listed on the Australian Securities Exchange from 1989 to 2006. This is one of the first studies to apply dynamic variables in forecasting financial distress. In contrast to most bankruptcy studies using static models, our model's predictive accuracy improves as the time horizon lengthens. The baseline hazard appears to play a strong role relative to the covariates that measure firms' risk factors.
Author: Graham Partington
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
We use a time-dependent Cox regression model with dynamic variables to estimate survival probabilities and make dynamic financial distress predictions for a sample of Australian firms listed on the Australian Securities Exchange from 1989 to 2006. This is one of the first studies to apply dynamic variables in forecasting financial distress. In contrast to most bankruptcy studies using static models, our model's predictive accuracy improves as the time horizon lengthens. The baseline hazard appears to play a strong role relative to the covariates that measure firms' risk factors.
Author: Gerhard Tutz
Publisher: Springer
ISBN: 3319281585
Category : Mathematics
Languages : en
Pages : 252
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Book Description
This book focuses on statistical methods for the analysis of discrete failure times. Failure time analysis is one of the most important fields in statistical research, with applications affecting a wide range of disciplines, in particular, demography, econometrics, epidemiology and clinical research. Although there are a large variety of statistical methods for failure time analysis, many techniques are designed for failure times that are measured on a continuous scale. In empirical studies, however, failure times are often discrete, either because they have been measured in intervals (e.g., quarterly or yearly) or because they have been rounded or grouped. The book covers well-established methods like life-table analysis and discrete hazard regression models, but also introduces state-of-the art techniques for model evaluation, nonparametric estimation and variable selection. Throughout, the methods are illustrated by real life applications, and relationships to survival analysis in continuous time are explained. Each section includes a set of exercises on the respective topics. Various functions and tools for the analysis of discrete survival data are collected in the R package discSurv that accompanies the book.
Author: Stewart Jones
Publisher: Taylor & Francis
ISBN: 1317225376
Category : Business & Economics
Languages : en
Pages : 243
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Book Description
This book is an introduction text to distress risk and corporate failure modelling techniques. It illustrates how to apply a wide range of corporate bankruptcy prediction models and, in turn, highlights their strengths and limitations under different circumstances. It also conceptualises the role and function of different classifiers in terms of a trade-off between model flexibility and interpretability. Jones's illustrations and applications are based on actual company failure data and samples. Its practical and lucid presentation of basic concepts covers various statistical learning approaches, including machine learning, which has come into prominence in recent years. The material covered will help readers better understand a broad range of statistical learning models, ranging from relatively simple techniques, such as linear discriminant analysis, to state-of-the-art machine learning methods, such as gradient boosting machines, adaptive boosting, random forests, and deep learning. The book’s comprehensive review and use of real-life data will make this a valuable, easy-to-read text for researchers, academics, institutions, and professionals who make use of distress risk and corporate failure forecasts.
Author: Yiannis Dimotikalis
Publisher: John Wiley & Sons
ISBN: 1786309920
Category : Computers
Languages : en
Pages : 420
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Book Description
Author: Luc Duchateau
Publisher: Springer Science & Business Media
ISBN: 038772835X
Category : Mathematics
Languages : en
Pages : 329
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Book Description
Readers will find in the pages of this book a treatment of the statistical analysis of clustered survival data. Such data are encountered in many scientific disciplines including human and veterinary medicine, biology, epidemiology, public health and demography. A typical example is the time to death in cancer patients, with patients clustered in hospitals. Frailty models provide a powerful tool to analyze clustered survival data. In this book different methods based on the frailty model are described and it is demonstrated how they can be used to analyze clustered survival data. All programs used for these examples are available on the Springer website.
Author: John P. Klein
Publisher: CRC Press
ISBN: 146655567X
Category : Mathematics
Languages : en
Pages : 635
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Book Description
Handbook of Survival Analysis presents modern techniques and research problems in lifetime data analysis. This area of statistics deals with time-to-event data that is complicated by censoring and the dynamic nature of events occurring in time. With chapters written by leading researchers in the field, the handbook focuses on advances in survival analysis techniques, covering classical and Bayesian approaches. It gives a complete overview of the current status of survival analysis and should inspire further research in the field. Accessible to a wide range of readers, the book provides: An introduction to various areas in survival analysis for graduate students and novices A reference to modern investigations into survival analysis for more established researchers A text or supplement for a second or advanced course in survival analysis A useful guide to statistical methods for analyzing survival data experiments for practicing statisticians
Author: William A. Barnett
Publisher: Emerald Group Publishing
ISBN: 183867361X
Category : Business & Economics
Languages : en
Pages : 371
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Book Description
Recent Developments in Asian Economics is a crucial resource of current, cutting-edge research for any scholar of international finance and economics. Chapters cover a wide range of topics, such as social welfare systems, organizational culture, sustainability, the impact of economic policy uncertainty, and more.
Author: Wojtek J. Krzanowski
Publisher: CRC Press
ISBN: 1439800227
Category : Business & Economics
Languages : en
Pages : 256
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Book Description
Since ROC curves have become ubiquitous in many application areas, the various advances have been scattered across disparate articles and texts. ROC Curves for Continuous Data is the first book solely devoted to the subject, bringing together all the relevant material to provide a clear understanding of how to analyze ROC curves.The fundamenta
Author: Christos H. Skiadas
Publisher: Springer Nature
ISBN: 3030446956
Category : Social Science
Languages : en
Pages : 448
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Book Description
This book provides theoretical and applied material for estimating vital parts of demography and health issues including the healthy aging process along with calculating the healthy life years lost to disability. It further includes the appropriate methodology for the optimum health expenditure allocation. Through providing data analysis, statistical and stochastic methodology, probability approach and important applications, the book explores topics such as aging and mortality, birth-death processes, self-perceived age, life-time and survival as well as pension and labor-force. By providing a methodological approach to health problems in demography and society including and quantifying important parameters, this book is a valuable guide for researchers, theoreticians and practitioners from various disciplines.
Author: Edward W. Frees
Publisher: Cambridge University Press
ISBN: 1107029872
Category : Business & Economics
Languages : en
Pages : 565
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Book Description
This book is for actuaries and financial analysts developing their expertise in statistics and who wish to become familiar with concrete examples of predictive modeling.
