Is the distance to default a good measure in predicting bank failures?
Subtitle: case studies
By: Kimie Harada, Takatoshi Ito, Shuhei Takahashi
Contributors: Itō, Takatoshi, 1950-; Takahashi, Shuhei; National Bureau of Economic Research
Series: NBER working paper series -- working paper 16182; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 16182.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "This paper examines the movements of the Distance to Default (DD), a market-based measure of corporate default risk, of eight failed Japanese banks in order to evaluate the predictive power of the DD measure for bank failures.  The DD became smaller in anticipation of failure in many cases.  The DD spread, defined as the DD of a failed bank minus the DD of sound banks, was also a useful indicator for deterioration of a failed bank's health.  For some banks, neither the DD nor the DD spread predicted the failures.  However, those results were partly due to lack of transparency in financial statements and disclosed information"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 8/19/2010.

Includes bibliographical references.

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