Academic literature on the topic 'Bank failures – Models'

This paper examines banks in Missouri during the Great Depression in order to find the correct model specification for bank failure during economic downturns. The data set controls for a bank’s balance sheet, correspondent network, charters and memberships, county characteristics, and market share, and includes both Federal Reserve member and non-member banks. Using a probit model, it is concluded that the contractionary monetary policy employed by the St. Louis Federal Reserve did not help bank survival, as being a member of the Federal Reserve had no significant effect on a bank’s probability of survival. Additionally, while an increased network led to higher rates of bank survival, connections to Chicago show evidence of contagion risk. Finally, the paper concludes that for future model specification it is important to capture balance sheet, network, and environment characteristics, as leaving out certain information can lead to omitted variable bias.

Title from PDF of title page (University of Missouri--Columbia, viewed on March 10, 2010). The entire thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file; a non-technical public abstract appears in the public.pdf file. Thesis advisor: Dr. Robert M O'Connell. Includes bibliographical references.

The following dissertation contains two distinct empirical essays which contribute to the overall field of Financial Economics. Chapter 1, entitled “The Determinants of Dynamic Dependence: An Analysis of Commodity Futures and Equity Markets,” examines the determinants of the dynamic equity-commodity return correlations between five commodity futures sub-sectors (energy, foods and fibers, grains and oilseeds, livestock, and precious metals) and a value-weighted equity market index (S&P 500). The study utilizes the traditional DCC model, as well as three time-varying copulas: (i) the normal copula, (ii) the student’s t copula, and (iii) the rotated-gumbel copula as dependence measures. Subsequently, the determinants of these various dependence measures are explored by analyzing several macroeconomic, financial, and speculation variables over different sample periods. Results indicate that the dynamic equity-commodity correlations for the energy, grains and oilseeds, precious metals, and to a lesser extent the foods and fibers, sub-sectors have become increasingly explainable by broad macroeconomic and financial market indicators, particularly after May 2003. Furthermore, these variables exhibit heterogeneous effects in terms of both magnitude and sign on each sub-sectors’ equity-commodity correlation structure. Interestingly, the effects of increased financial market speculation are found to be extremely varied among the five sub-sectors. These results have important implications for portfolio selection, price formation, and risk management. Chapter 2, entitled, “US Community Bank Failure: An Empirical Investigation,” examines the declining, but still pivotal role, of the US community banking industry. The study utilizes survival analysis to determine which accounting and macroeconomic variables help to predict community bank failure. Federal Deposit Insurance Corporation and Federal Reserve Bank data are utilized to compare 452 community banks which failed between 2000 and 2013, relative to a sample of surviving community banks. Empirical results indicate that smaller banks are less likely to fail than their larger community bank counterparts. Additionally, several unique bank-specific indicators of failure emerge which relate to asset quality and liquidity, as well as earnings ratios. Moreover, results show that the use of the macroeconomic indicator of liquidity, the TED spread, provides a substantial improvement in modeling predictive community bank failure.

La mise à l'échelle de la technologie CMOS classique augmente les performances des circuits numériques grâce à la possibilité d'incorporation de composants de circuit supplémentaires dans la même zone de silicium. La technologie FDSOI 28nm de ST Microélectroniques est une stratégie d'échelle innovante qui maintient une structure de transistor planaire et donc une meilleure performance sans augmentation des coûts de fabrication de puces pour les applications basse tension. Il est important de s'assurer que l'augmentation des fonctionnalités et des performances ne se fasse pas au détriment de la fiabilité réduite, ce qui est assuré en répondant aux exigences des normes internationales ISO26262 pour les applications critiques dans les environnements automobile et industriel. Les entreprises de semi-conducteurs, pour se conformer à ces normes, doivent donc présenter des capacités d'estimation de la fiabilité au stade de la conception du circuit, qui est pour l'instant évaluer qu'après la fabrication d'un circuit numérique. Ce travail se concentre sur le vieillissement des standard cell et des circuits numériques avec le temps sous l'influence du mécanisme de dégradation du NBTI pour une large gamme de variations de processus, de tension et de température (PVT) et la compensation de vieillissement avec l'application de la tension à la face arrière (Body-Bias). L'un des principaux objectifs de cette thèse est la mise en place d'une infrastructure d'analyse de fiabilité composée d'outils logiciels et d'un modèle de vieillissement dans un cadre industriel d'estimation du taux de défaillance des circuits numériques au stade de la conception des circuits développés en technologie ST 28nm FDSOI<br>Scaling of classical CMOS technology provides an increase in performance of digital circuits owing to the possibility of incorporation of additional circuit components within the same silicon area. 28nm FDSOI technology from ST Microelectronics is an innovative scaling strategy maintaining a planar transistor structure and thus provide better performance with no increase in silicon chip fabrication costs for low power applications. It is important to ensure that the increased functionality and performance is not at the expense of decreased reliability, which can be ensured by meeting the requirements of international standards like ISO26262 for critical applications in the automotive and industrial settings. Semiconductor companies, to conform to these standards, are thus required to exhibit the capabilities for reliability estimation at the design conception stage most of which, currently, is done only after a digital circuit has been taped out. This work concentrates on Aging of standard cells and digital circuits with time under the influence of NBTI degradation mechanism for a wide range of Process, Voltage and Temperature (PVT) variations and aging compensation using backbiasing. One of the principal aims of this thesis is the establishment of a reliability analysis infrastructure consisting of software tools and gate level aging model in an industrial framework for failure rate estimation of digital circuits at the design conception stage for circuits developed using ST 28nm FDSOI technology

Ces dernières années ont vu l'émergence de nouveaux composants micro-ondes, les micro-commutateurs MEMS RF, possédant des performances très attrayantes pour de nombreux domaines d'application : spatial, automobile, téléphonie mobile& Cependant, une problématique majeure retarde actuellement leur industrialisation : leur fiabilité. Ce manuscrit de thèse a pour but principal de mettre en place les procédures d'investigation de la fiabilité des MEMS RF comprenant le développement des outils matériels et méthodologiques permettant d'analyser et de modéliser les phénomènes régissant la fiabilité de ces composants. Le premier chapitre effectue un état de l'art critique des bancs de tests et des résultats publiés par les laboratoires internationaux travaillant sur la fiabilité des MEMS RF. Le second chapitre détaille le banc de fiabilité développé dans le cadre de nos travaux. Nous présentons les différentes parties le constituant ainsi que les mesures des propriétés des MEMS RF qu'elles permettent d'effectuer en vue d'analyser leur fiabilité. Le troisième chapitre se focalise sur la méthodologie mise en place en vue d'étudier la fiabilité des micro-commutateurs capacitifs. Cette méthodologie est basée sur la détection et l'analyse des modes de défaillance d'une part et sur la modélisation du mécanisme de défaillance d'autre part. Nous proposons ainsi un modèle du chargement du diélectrique, principale cause de défaillance de ce type de composants, et introduisons un facteur de mérite de la fiabilité des MEMS RF permettant une évaluation comparative de leur durée de vie. Dans un quatrième chapitre, nous présentons les trois axes de recherche sur lesquels des études préliminaires ont été effectuées en vue d'améliorer la fiabilité des MEMS RF capacitifs : l'optimisation technologique, l'optimisation de la commande et l'optimisation de la topologie des micro-commutateurs

Defence date: 15 October 2007<br>Examining board: Prof. Giancarlo Corsetti, EUI, Supervisor ; Prof. Bernardo Guimaraes, London School of Economics ; Prof. Karl Schlag, EUI and Universitat Pompeu Fabra ; Prof. Eric Van Damme, Tilburg University<br>no abstract available

碩士<br>國立臺灣大學<br>經濟學研究所<br>96<br>The purpose of this research is to analysis the early warning of bank failure models using bank financial indicators and discuss the hazard function of healthy and default banks in Taiwan from 2002 to 2007, the year 2001 is a benchmark year. Factor analysis using Principal components method, and rotating the factor-loading matrix by the varimax method, this research shows that a bank will fail is a function of variables related to six financial indicators, including banking operations , assets quality, bank scale, capital adequacy, liquidity and growing. Empirical results show that the parametric model is superior to the semi-parametric model and the non-parametric model, as the majority of the regressors in the accelerated failure-time model are significant with the correct sign. Overall, the Log-logistic Model is advanced to indicate how the financial indicators can lead to the failure of the banks, and demonstrate good accuracy.