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Bank liability structure, FDIC loss, and time to failure: a quantile regression approach

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Bank liability structure, FDIC loss, and time to failure : a quantile regression approach. / Schaeck, Klaus.

In: Journal of Financial Services Research, Vol. 33, No. 3, 01.06.2008, p. 163-179.

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Schaeck, Klaus. / Bank liability structure, FDIC loss, and time to failure : a quantile regression approach. In: Journal of Financial Services Research. 2008 ; Vol. 33, No. 3. pp. 163-179.

Bibtex

@article{13605772025f44f1b474ec1a85cb2713,
title = "Bank liability structure, FDIC loss, and time to failure: a quantile regression approach",
abstract = "Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between 1984 and 2003, I present a quantile regression approach that illustrates the sensitivity of the dollar value of losses in different quantiles to my explanatory variables. These findings suggest that reliance on standard econometric techniques results in misleading inferences, and that losses are not homogeneously driven by the same factors across the quantiles. I also find that liability composition affects time to failure.",
keywords = "bank liability structure, loss given default, market discipline, time to failure, quantile regression ",
author = "Klaus Schaeck",
year = "2008",
month = jun
day = "1",
doi = "10.1007/s10693-008-0028-5",
language = "English",
volume = "33",
pages = "163--179",
journal = "Journal of Financial Services Research",
issn = "0920-8550",
publisher = "Springer Netherlands",
number = "3",

}

RIS

TY - JOUR

T1 - Bank liability structure, FDIC loss, and time to failure

T2 - a quantile regression approach

AU - Schaeck, Klaus

PY - 2008/6/1

Y1 - 2008/6/1

N2 - Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between 1984 and 2003, I present a quantile regression approach that illustrates the sensitivity of the dollar value of losses in different quantiles to my explanatory variables. These findings suggest that reliance on standard econometric techniques results in misleading inferences, and that losses are not homogeneously driven by the same factors across the quantiles. I also find that liability composition affects time to failure.

AB - Deposit insurers are particularly concerned about high-cost failures. When the factors driving such failures differ systematically from the determinants of low- and moderate-cost failures, a new estimation technique is required. Using a sample of more than 1,000 bank failures in the U.S. between 1984 and 2003, I present a quantile regression approach that illustrates the sensitivity of the dollar value of losses in different quantiles to my explanatory variables. These findings suggest that reliance on standard econometric techniques results in misleading inferences, and that losses are not homogeneously driven by the same factors across the quantiles. I also find that liability composition affects time to failure.

KW - bank liability structure

KW - loss given default

KW - market discipline

KW - time to failure

KW - quantile regression

U2 - 10.1007/s10693-008-0028-5

DO - 10.1007/s10693-008-0028-5

M3 - Journal article

VL - 33

SP - 163

EP - 179

JO - Journal of Financial Services Research

JF - Journal of Financial Services Research

SN - 0920-8550

IS - 3

ER -