A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis
提出一种利用股价信息衡量银行信贷组合质量的新方法，通过信用风险指标预测次贷危机中的银行倒闭和股价表现，对监管者和投资者有参考价值。
We propose a new method for measuring the quality of banks' credit portfolios. This method makes use of information embedded in bank share prices by exploiting differences in their sensitivity to credit default swap spreads of borrowers of varying quality. The method allows us to derive a credit risk indicator (CRI). This indicator represents the perceived share of high-risk exposures in a bank's portfolio and can be used as a risk weight for computing regulatory capital requirements. We estimate CRIs for the 150 largest U.S. bank holding companies. We find that their CRIs are able to forecast bank failures and share price performances during the crisis of 2007–2009, even after controlling for a variety of traditional asset quality and general risk proxies. This paper was accepted by Wei Xiong, finance.