We investigate the effects of increased bond market transparency on the risk sensitivity of yield spreads for bank-issued subordinated notes and debentures after bond markets became more transparent in 2002. Models of yield spread levels and yield spread changes show improvement in normal...

This paper presents a model of a banking industry with heterogeneous banks that delivers predictions on the relationship between banks'' risk of failure, market structure, bank ownership, and banks'' screening and bankruptcy costs. These predictions are explored empirically using a panel of...

We use the term structure of spreads between rates on interest rate swaps indexed to LIBOR and overnight indexed swaps to infer a term structure of interbank risk. Using a dynamic term structure model, we decompose the term structure of interbank risk into default and non-default components. We...