A Market-Based Measure of Credit Portfolio Quality and Banks' Performance During the Subprime Crisis

• 成果类型: Article
• 署名作者: Knaup, Martin; Wagner, Wolf
• 署名单位: Tilburg University; Tilburg University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1501
• 发表日期: 2012
• 页码: 1423-1437
• 关键词: credit portfolio risk; asset quality; banks; Subprime crisis

摘要

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.