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Monitoring & Controlling Bank Risk: Does Risky Debt Serve Any Purpose?
C.N.V. Krishman & P.H. Ritchken. Examines whether mandating banks to issue subordinated debt (SD) would serve to enhance market monitoring & control risk taking (RT). The authors extract the credit-spread curve for each banking firm in their sample & examine whether changes in credit spreads reflect changes in bank risk variables, after controlling for changes in market & liquidity. They find that they do not. Their result is robust to firm type, examín. rating, size, leverage & profitability, as well as to diff. model specís. To evaluate whether SD controls RT, they examined whether issuing SD changes the RT behavior of a bank. They find that it does not. Therefore, a mandatory SD requirement for banks is unlikely to provide the purported benefits of enhancing risk monitoring or controlling RT.
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