On Credit-Spread Slopes and Predicting Bank Risk
研究银行次级债产生的信用利差曲线是否有助于预测银行风险，发现信用利差斜率能显著预测未来信用利差，并为未来银行风险变量提供额外信息。
We examine whether bank credit-spread curves, engendered by subordinated debt, would help predict bank risk. We extract credit-spread curves for each bank each quarter and analyze the predictive properties of credit-spread slopes. We find that credit-spread slopes are significant predictors of future credit spreads. We also find that credit-spread slopes provide significant additional information on future bank risk variables, over and above other bank-specific and market-wide information.