B0955
Title: Competing risks PH cure model and GEV regression: Analysis of bank failures and acquisitions in the U.S.
Authors: Alessandro Beretta - HEC Liege (Belgium) [presenting]
Cedric Heuchenne - University of Liege (Belgium)
Marialuisa Restaino - University of Salerno (Italy)
Abstract: The factors influencing the disappearance of commercial banks in the United States are investigated. A bank may cease to exist primarily due to failure or acquisition by another entity and, moreover, it may not be susceptible to one or both events. For this reason, we use a competing risks proportional-hazards cure model in order to measure the impact of bank-specific and macroeconomic variables on the probabilities to experience these events (i.e. incidence) and on the survival time of susceptible banks (i.e. latency). We propose to model the incidence distribution using Generalized Extreme Value regression and compare the results with the usual logistic regression model. The proposed methodology is evaluated by means of a simulation study and then applied to a dataset of more than 4000 United States commercial banks spanning the period 1993-2018.
