Gilbert, R. Alton; Meyer, Andrew P.; Vaughan, Mark D. - Federal Reserve Bank of St. Louis - 2003
We examine the value of jumbo certificate-of-deposit (CD) signals in bank surveillance. To do so, we first construct proxies for default premiums and deposit runoffs and then rank banks based on these risk proxies. Next, we rank banks based on the output of a logit model typical of the...