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A market-based measure of credit portfolio quality and banks' performance during the subprime crisis

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 ris... Full description

Journal Title: Management science : journal of the Institute for Operations Research and the Management Sciences 2012, Vol.58(8), pp. 1423-1437
Main Author: Knaup, Martin
Format: Electronic Article Electronic Article
Language: English
Subjects:
Usa
ID: ISSN: 0025-1909
Link: http://gso.gbv.de/DB=2.1/PPNSET?PPN=725340940
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recordid: gbv725340940
title: A market-based measure of credit portfolio quality and banks' performance during the subprime crisis
format: Article
creator:
  • Knaup, Martin
subjects:
  • Kreditgeschäft
  • Investitionsrisiko
  • Messung
  • Subprime-Krise
  • Finanzkrise
  • Usa
  • 2007-2009
ispartof: Management science : journal of the Institute for Operations Research and the Management Sciences, 2012, Vol.58(8), pp. 1423-1437
description: 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. Key words: credit portfolio risk; asset quality; banks; subprime crisis History: Received November 19, 2009; accepted November 9, 2011, by Wei Xiong, finance. Published online in Articles in Advance May 18, 2012.
language: eng
source:
identifier: ISSN: 0025-1909
fulltext: fulltext
issn:
  • 00251909
  • 0025-1909
url: Link


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descriptionWe 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. Key words: credit portfolio risk; asset quality; banks; subprime crisis History: Received November 19, 2009; accepted November 9, 2011, by Wei Xiong, finance. Published online in Articles in Advance May 18, 2012.
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