How good is the market at assessing bank fragility? A horse race between different indicators

By P. Bongini, Luc Laeven, G. Majnoni. 2002

219 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/94bb3ed1935c1609beb0dfc5a24b93068c334775

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Citations in the corpus

The End of Market Discipline? Investor Expectations of Implicit State Guarantees (2013, background): “Anginer and Demirguc-Kunt (2011), Bongini, Laeven, and Majnoni (2002), Bartram, Brown and Hundt (2008) and others have used the Merton model to measure default probabilities of commercial banks.”
Predicting Distress in European Banks (2014, background): “First, we aim at predicting underlying vulnerabilities 1-3 years prior to distress, whereas market-based signals tend to have a shorter horizon (see e.g. Bongini et al., 2002 and Milne, 2013); and second, we aim at using a broad sample of banks, rather than only listed banks.”
Cross-Border Bank Contagion in Europe (2012, unknown): “With this approach, equity volatility is accurately estimated for a specific time interval, as long as leverage does not change substantially over that period (see, e.g., Bongini, Laeven, and Majnoni 2002 ).”
Cyclicality in Catastrophic and Operational Risk Measurements (2007, background): “6 Campbell et al. (2001), Goyal and Santa-Clara (2003), and Bali et al.”
Estimating Systemic Risk in the International Financial System (2005, unknown): “Bongini, Laeven, and Majnoni (2002) use a Merton model to estimate East Asian bank failure probabilities during the Asian crisis and find that these estimates respond more quickly to changing financial conditions than ratings of credit risk agencies (but did not outperform measures using only…”
Competition and risk in South East Asian commercial banking (2012, result): “These findings concur with the results of Jayaratne and Strahan (1998), De Nicolo (2000), Boyd et al. (2006), Yeyati and Micco (2007) and Koetter and Poghosyan (2009), but conflict with those reported by Rhoades and Rutz (1982), Keeley (1990) and Dick (2006).”
Determinants of Bank Distress in Europe: Evidence from a New Data Set (2011, background): “banks is less conclusive (e.g., Bongini et al. 2002; Cihak 2007).”
How Does Deposit Insurance Affect Bank Risk? Evidence from the Recent Crisis (2012, unknown): “Bongini, Laeven and Majnoni (2002), Bartram, Brown and Hund (2007), Hovakimian, Kane, and Laeven (2012), among others, have used the Merton model to measure default risk of commercial banks.”