We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- Title
Distance to default, subordinated debt, and distress indicators in the banking industry Distance to default, subordinated debt, and distress indicators in the banking industry P. Kato, J. Hagendorff.
- Authors
Kato, Paul; Hagendorff, Jens
- Abstract
The recent financial crisis has highlighted the inadequacy of present supervisory arrangements to identify reliable ex-ante indicators of banking distress. For a sample of US bank holding companies, we analyse the extent to which distance to default based on market data can be explained using accounting-based indicators of risk. We show that a larger number of bank fundamentals help predict default for institutions that issue subordinated debt. For banks that issue sub-debt, we find that higher charter values and low bank capitalizations further increase the power of bank fundamentals to predict default risk.
- Subjects
BONDS (Finance); FINANCIAL crises; BANKING industry; BANK capital; DEBT; ACCOUNTING
- Publication
Accounting & Finance, 2010, Vol 50, Issue 4, p853
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629X.2010.00354.x