On Credit-Spread Slopes and Predicting Bank Risk

C. N. V. Krishnan, P. H. Ritchken and James Thomson

Journal of Money, Credit and Banking, 2006, vol. 38, issue 6, 1545-1574

Abstract: We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive properties of credit-spread slopes. We find that credit-spread slopes are significant predictors of future credit spreads. We also find that credit-spread slopes provide significant additional information on future bank risk variables, over and above other bank-specific and market-wide information.

Date: 2006
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Working Paper: On credit spread slopes and predicting bank risk (2004)
Working Paper: On credit spread slopes and predicting bank risk (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:38:y:2006:i:6:p:1545-1574

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