Work

Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies

Year: 2010

Type: report

Abstract: 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.and disclosed information.

Source: National Bureau of Economic Research

DOI: 10.3386/w16182

Authors: Kimie Harada, Takatoshi Ito, Shuhei Takahashi

Institutions: Chuo University, National Bureau of Economic Research, The University of Tokyo, The Ohio State University

Language: English

Topic: Financial Distress and Bankruptcy Prediction

Subfield: Accounting

Field: Business, Management and Accounting

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1538014194

Cites: 27

Cited by: 30

Related to: 10