On credit spread slopes and predicting bank risk

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

No 314, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: The authors examine whether credit-spread curves, engendered by a mandatory subordinated-debt requirement for banks, would help predict bank risk. They extract the credit-spread curves each quarter for each bank in our sample, and analyze the information content of credit-spread slopes. They find that credit-spread slopes are significant predictors of future credit spreads. However, credit-spread slopes do not provide significant additional information on future bank-risk variables, over and above other bank-specific and market-wide information.

Keywords: Bank capital; Risk (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-rmg
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Related works:
Journal Article: On Credit-Spread Slopes and Predicting Bank Risk (2006)
Working Paper: On credit spread slopes and predicting bank risk (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:0314

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DOI: 10.26509/frbc-wp-200314

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