A Market - based measure of credit portfolio quality and banks' performance during the subprime crisis / Martin Knaup in Management science, Vol. 58 N° 8 (Août 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 8 (Août 2012) . - pp.1423-1437 Titre : A Market - based measure of credit portfolio quality and banks' performance during the subprime crisis Type de document : texte imprimé Auteurs : Martin Knaup, Auteur ; Wolf Wagner, Auteur Année de publication : 2012 Article en page(s) : pp.1423-1437 Note générale : Management Langues : Anglais (eng) Mots-clés : Credit portfolio risk Asset quality Banks Subprime crisis Résumé : 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. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/05/18/mnsc.1110.1501.abstra [...] [article] A Market - based measure of credit portfolio quality and banks' performance during the subprime crisis [texte imprimé] / Martin Knaup, Auteur ; Wolf Wagner, Auteur . - 2012 . - pp.1423-1437. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 8 (Août 2012) . - pp.1423-1437 Mots-clés : Credit portfolio risk Asset quality Banks Subprime crisis Résumé : 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. ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/early/2012/05/18/mnsc.1110.1501.abstra [...]

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