Graduate School of International Accounting
Shinjuku-ku, Tokyo 162-8478
NBER Working Papers and Publications
|July 2010||Is the Distance to Default a Good Measure in Predicting Bank Failures? Case Studies|
with Takatoshi Ito, Shuhei Takahashi: w16182
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. However, those results were partly due to lack of transparency in financial statements and disclosed information.
Published: "Is the Distance to Default a Good Measure in Predicting Bank Failures? A case Study of Japanese Major Banks", (with Takatoshi Ito and Shuhei Takahashi ), Japan and the World Economy, 2013, vol. 27.
|December 2008||Did Mergers Help Japanese Mega-Banks Avoid Failure? Analysis of the Distance to Default of Banks|
with Takatoshi Ito: w14518
In the late 1990s, several large Japanese banks failed for the first time in its postwar history. As the financial environment was deteriorating further, several remaining banks decided to merge among themselves, presumably, to make their operations more efficient to avoid failures. This paper defines, calculates and analyzes the distance to default (DD), a concept of credit risk in corporate finance, of Japanese large banks. The DD helps us to answer a question whether mergers in the late 1990s and 2000s made the merged banks financially more robust as intended. The novelty of the paper is to develop a method of analyzing the DD for banks that experience a merger, and to apply the method to the Japanese banking data. Our findings include: (1) A merged bank fundamentally inherits financial...
Published: Harada, Kimie & Ito, Takatoshi, 2011. "Did mergers help Japanese mega-banks avoid failure? Analysis of the distance to default of banks," Journal of the Japanese and International Economies, Elsevier, vol. 25(1), pages 1-22, March. citation courtesy of
|March 2003||Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives|
with Takatoshi Ito: w9589
This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually disappeared since April 1999, credit and default risks of Japanese banks has not necessarily disappeared. Other indicators show varying degrees of fragility among Japanese banks in 1998-2001. Banking stock prices continue to slide compared to the market-wide stock price index. From pricing of credit derivatives, default probabilitie of banks can be etracted. Correlations among indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium with a significant, positive coefficient. The high...
Published: Ito, Takatoshi and Kimie Harada. "Credit Derivatives Premium As A New Japan Premium," Journal of Money, Credit and Banking, 2004, v36(5,Oct), 965-968.
|November 2000||Japan Premium and Stock Prices: Two Mirrors of Japanese Banking Crises|
with Takatoshi Ito: w7997
This paper investigates how financial troubles among Japanese banks in the second half of the 1990s were viewed by the market. Two indicators, the Japan premium and the stock price index of the banking sector in Tokyo, were examined. Econometric tests were employed to see whether different kinds of investors saw the banking crisis differently, and what kind of news had most impacts on market pricing of Japanese banks. Our findings are as follows. (1) Factors that pushed up the Japan Premium most were the Daiwa Bank incidence in the fall of 1995, failures of large financial institutions in November 1997, and uncertainties in the resolution of banking problem in fall 1998. (2) The bank stock index declined (in relative to the general stock index) most in bank failures, in particular by the Y...
- as "Credit Derivatives Premium As A New Japan Premium," Journal of Money, Credit and Banking, Vol. 36, no. 5 (October 2004): 965-968
- International Journal of Finance & Economics, Vol. 10, no. 3 (July 2005): 195-211 citation courtesy of