Article : texte imprimé

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

Martin Knaup, Auteur ; Wolf Wagner, Auteur |

Dans Management science (Vol. 58 N° 8, Août 2012)

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 varyi[...]

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