Bailouts and the modeling of bank distress
构建了一个预测大型银行困境的模型，发现救助可能性导致大小银行行为不同，大型银行的一级资本比率几乎无预测能力，而融资成本与失败概率负相关，反映了太大而不能倒政策的影响。
Abstract In this article, we develop a model for predicting distress events among large banks. We show that a bailout possibility induces different behaviors among small and large banks, and the proposed failure prediction model for large banks is thus considerably different from that for small banks. Major bank‐level fundamentals show opposite conjecture directions for large versus small banks. The Tier 1 capital ratio, which is under the scrutiny of regulators and investors, has almost no distress prediction power among large banks. However, banks rescued by governments tend to maintain a lower Tier 1 ratio. The cost of funding in large banks is negatively correlated with the probability of failure, reflecting the fact that lenders internalize the too‐big‐to‐fail (TBTF) policy and demand a lower interest rate from TBTF banks.