Finance and Economics Discussion Series: Using Subordinated Debt to Monitor Bank Holding Companies: Is It Feasible - Softcover

Hancock, Diana; Kwast, Myron L

Softcover

ISBN 10: 1288716486 ISBN 13: 9781288716487

Publisher: BiblioBazaar, LLC, 2013

Synopsis

Much research is needed to implement a supervisory surveillance system for banking organizations that relies on subordinated debt and other market data. This paper is germane to that task. We find subordinated debt spreads are most consistent across data sources for the most liquid bonds (i.e., those of relatively large issuance size, relatively young age, issued by relatively large firms) traded in a relatively robust overall bond market. We also find there is a high degree of concordance in rankings of firms by their minimum spreads across bonds with especially strong agreement about which large firms are in the tails of the spread distribution at each point in time. Our time-series results support and provide guidance for the use of subordinated debt spreads in supervisory monitoring, support the need for careful judgment when interpreting such spreads, highlight difficulties with currently available data sources, and motivate the need for further research.

Edition details

• Publisher: BiblioBazaar, LLC
• Publication date: 2013
• Language: English
• ISBN 10: 1288716486
• ISBN 13: 9781288716487
• Binding: Paperback
• Number of pages: 54