文章基本信息

标题：Using Securities Market Information for Bank Supervisory Monitoring
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作者：John Krainer ; Jose A. Lopez
期刊名称：International Journal of Central Banking
印刷版ISSN：1815-4654
出版年度：2008
卷号：2008
期号：01
出版社：IJCB Publications Fulfillment
摘要：U.S. bank supervisors conduct comprehensive inspections of bank holding companies and assign them a supervisory rating, known as a BOPEC rating prior to 2005, meant to summarize their overall condition. We develop an empirical model of these BOPEC ratings that combines supervisory and securities market information. Securities market variables, such as stock returns and bond yield spreads, improve the model's in-sample fit. Debt market variables provide more information on supervisory ratings for banks closer to default, while equity market variables provide useful information on ratings for banks further from default. The out-of-sample accuracy of the model with securities market variables is little different from that of a model based on supervisory variables alone. However, the model with securities market information identifies additional ratings downgrades, which are of particular importance to bank supervisors who are concerned with systemic risk and contagion.