As a theoretical matter, signals from the bond and equity markets satisfy minimal requirements for a useful indicator. Using option pricing formulas, it is shown that a distance to default measure, based on equity market value and equity volatility, increases with the market value of bank assets...

This paper was part of the conference "Beyond Pillar 3 in International Banking Regulation: Disclosure and Market Discipline of Financial Firms," cosponsored by the Federal Reserve Bank of New York and the Jerome A. Chazen Institute of International Business at Columbia Business School, October...

This paper was part of the conference "Beyond Pillar 3 in International Banking Regulation: Disclosure and Market Discipline of Financial Firms," cosponsored by the Federal Reserve Bank of New York and the Jerome A. Chazen Institute of International Business at Columbia Business School, October...

Each quarter, banks file a call report, or Report of Condition and Income, containing hundreds of accounting items pertaining to their financial condition. Because call reports are filed quarterly, whereas banks are typically examined about once every twelve to eighteen months, statistical early...

The Selected Issue Paper discusses the Swiss National Bank’s (SNB) balance sheet risks and policy implications. Despite increased profit allocations, SNB capital has not kept pace with its growing balance sheet. The paper also explores the empirical determinants of pressures on the Swiss...

An update on Saudi Arabia’s Financial System Stability Assessment (FSAP) is presented. Saudi Arabia has confronted the global financial crisis from a position of strength, and took decisive steps to manage the impact of the crisis. As a result, the financial system has weathered the...