Krishnan, C. N. V.; Ritchken, P. H.; Thomson, J. B. - In: Journal of Money, Credit and Banking 38 (2006) 6, pp. 1545-1574
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...