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

Research output: Contribution to Journal/MagazineJournal articlepeer-review

<mark>Journal publication date</mark>1/06/2008
<mark>Journal</mark>Journal of Financial Services Research
Issue number3
Number of pages16
Pages (from-to)163-179
Publication StatusPublished
Early online date28/02/08
<mark>Original language</mark>English


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.