Option–based models of mortgage default posit that the central measure of default risk is
the loan–to–value (LTV) ratio. We argue, however, that an unrecognized problem with …

In recent years the call for incorporating market signals into bank supervision has spread from
academic circles to US bank regulators, Congress, and international regulatory bodies. 1 …

The paper examines the informational content of market data for long-term horizons in models,
which predict bank failure. Univariate results document patterns such as declining prices, …

A rule-based automated system is developed that models the analysis of a savings and loan
(S&L) analyst. The system's effectiveness is evaluated by testing its ability to predict S&L …

This paper identifies and analyzes the long-term rising trend in single-family mortgage
foreclosure rates. Traditional measures of mortgage risk, such as house appreciation rates and …

This paper assesses the extent to which stock market information may help bank regulators
identify bank financial distress. The research specifies a variety of stock return and other …

The paper examines the informational content of market data when these data are incorporated
into traditional models that predict bank failures. To assess whether financial markets …

… * Peter J. Elmer is a senior financial economist in the FDIC's Division of Research and
Statistics. The author would like to thank Mark Iverson of GMAC-RFC for valuable assistance. …

This paper assesses the extent to which stock market information may assist bank regulators
in the identification of bank financial distress. The research identifies a variety of stock …

… Blalock and Timothy J. Curry are financial economists, and Peter J. Elmer a senior analyst,
at the Resolution Trust Corporation. Timothy Curry is currently on leave from the Resolution …