Sub-Debt Yield Spreads as Bank Risk Measures
Douglas D. Evanoff and Larry D. Wall
Working Paper 2001-11
JEL classification: G28, G21, G14, K23
Key words: bank regulation, subordinated debt, capital adequacy, prompt corrective action
The authors wish to thank Robert Bliss, Jeffrey Gunther, George Kaufman, Robert Moore, Anthony Saunders and participants at the conference on “Incorporating Market Information into Financial Supervision” cosponsored by the Federal Deposit Insurance Corporation and the Journal of Financial Services Research for helpful comments and suggestions (without necessarily implying any agreement with the final product). They especially acknowledge numerous comments by the editor, Mark Flannery, that substantially strengthened the paper. The authors also acknowledge the input and help of Nancy Andrews, Julapa Jagtiani, Mike Murawski, and George Simler in developing the database used in the study. The opinions expressed in this paper are those of the authors’ and not necessarily those of the Federal Reserve Bank of Chicago, the Federal Reserve Bank of Atlanta, or the Federal Reserve System. Any remaining errors are the authors’ responsibility.
Please address questions regarding content to Douglas D. Evanoff, Research Officer, Federal Reserve Bank of Chicago, 230 South LaSalle Street, Chicago, Illinois 60604, 312-322-5814, firstname.lastname@example.org, or Larry D. Wall, Research Officer, Federal Reserve Bank of Atlanta, 104 Marietta Street, Atlanta, Georgia 30303-2713, 404-498-8931, email@example.com.