Miller, Scott; Olson, Eric; Yeager, Timothy J. - In: Journal of Financial Stability 16 (2015) C, pp. 118-137
, potentially neutralizing an advantage of market signals to incorporate new information quickly. For the period between the fourth … quarters of 2006 and 2012, we assess the accuracy of two market signals – expected default frequency (EDF) and subordinated … sum, the evidence to justify systematic reliance on market signals by supervisory agencies to forecast bank distress …