fixed income unless the value of the bank’s assets falls below a predetermined threshold. In such an event, the debt … obligation is automatically converted to the bank’s common equities. By using a contingent claims valuation approach we present … bank that includes DES or alternatively subordinated debt in its capital structure. We compare and evaluate quantitatively …

additional information about the value of bank assets relative to equity prices. The issues of the credibility of the proposed …

claims valuation techniques to derive implied asset variances from bank equity and deposit insurance, and from risk …-premia for bank subordinated debt. Specifically implied asset variances have been calculated from contingent valuation models and …

-risk premia borne by bank subordinated debtholders. This paper examines the "market discipline" of OBS activities by employing a … prices of subordinated debt reflect the risk of default is to regress the yield spread against accounting measures of bank … risk. This approach is inadequate because yield spreads are neither linear nor monotonic functions of bank risk. Moreover …