Reference : Variable selection in proportional hazards cure model with time-varying covariates, a...
Scientific conferences in universities or research centers : Scientific conference in universities or research centers
Business & economic sciences : Quantitative methods in economics & management
Variable selection in proportional hazards cure model with time-varying covariates, application to US bank failures
Beretta, Alessandro mailto [Université de Liège - ULiège > HEC Liège : UER > UER Opérations >]
Seminar at University of Salerno
[en] bank failures ; survival analysis ; mixture cure model ; time-varying covariates ; penalized likelihood ; SCAD
[en] From a survival analysis perspective, bank failure data are often characterised by small default rates and heavy censoring. This empirical evidence can be explained by the existence of a subpopulation of banks likely immune from bankruptcy. In this regard, we use a mixture cure model to separate the factors with an influence on the susceptibility to default from the ones affecting the survival time of susceptible banks. We extend a semi-parametric proportional hazards cure model to time-varying covariates and we propose a penalized-likelihood variable selection technique. By means of a simulation study, we show how this technique performs reasonably well. Finally, we illustrate an application to commercial bank failures in the United States over the period 2006-2016.

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