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Duration analysis of financial distr...

Wang, Ke.

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Duration analysis of financial distress (Japan).

Record Type:	Electronic resources : Monograph/item
Title/Author:	Duration analysis of financial distress (Japan)./
Author:	Wang, Ke.
Description:	74 p.
Notes:	Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1482.
Contained By:	Dissertation Abstracts International65-04A.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3128491

Duration analysis of financial distress (Japan).
Wang, Ke.

Duration analysis of financial distress (Japan). - 74 p.

Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1482.

Thesis (Ph.D.)--Stanford University, 2004.

This thesis explores the application of duration models in estimating the probability of financial distress, such as company failure and bank closure events.Subjects--Topical Terms:

626650
Economics, Finance.

Duration analysis of financial distress (Japan).
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245 1 0 $a Duration analysis of financial distress (Japan).
300 $a 74 p.
500 $a Source: Dissertation Abstracts International, Volume: 65-04, Section: A, page: 1482.
500 $a Adviser: J. Darrell Duffie.
502 $a Thesis (Ph.D.)--Stanford University, 2004.
520 $a This thesis explores the application of duration models in estimating the probability of financial distress, such as company failure and bank closure events.
520 $a Chapter 1, Multi-Period Corporate Failure Prediction with Stochastic Covariates, provides maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on over 28,000 firm-quarters of data spanning 1971 to 2001, of significant dependence of the level and shape of the term structure of conditional future bankruptcy probabilities on a firm's distance to default (a volatility-adjusted measure of leverage) and on U.S. personal income growth, among other covariates. Variation in a firm's distance to default has a greater relative effect on the term structure of future failure hazard rates than does a comparatively sized change in U.S. personal income growth, especially at dates more than a year into the future.
520 $a Chapter 2, Banks under Government Pressure: A Duration Analysis of Bank Exits in Prewar Japan, examines how market selection and government policy worked together during 1926--1936 in Japan to determine the likelihood with which banks exited through failure, merger, or acquisition. Using a comprehensive dataset compiled by Okazaki, Sawada, and Yokoyama, we apply a competing-risk duration model with time-varying covariates to link bank-specific characteristics with each bank's risk of failure, merger, or acquisition. We find that banks with lower profits and a closer relationship with industrial companies were more likely to fail, but that these two characteristics were not significant factors in determining a bank's chances of being merged or acquired. This suggests that market pressure and prevailing government policy changed the Japanese banking market structure in different ways.
590 $a School code: 0212.
650 4 $a Economics, Finance. $3 626650
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, History. $3 1017418
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690 $a 0770
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710 2 0 $a Stanford University. $3 754827
773 0 $t Dissertation Abstracts International $g 65-04A.
790 1 0 $a Duffie, J. Darrell, $e advisor
790 $a 0212
791 $a Ph.D.
792 $a 2004
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3128491