#2003-041A "Can Feedback from the Jumbo-CD Market Improve Bank Surveillance?"
by R. Alton Gilbert, Andrew P. Meyer, and Mark D. Vaughan
December 2003

We examine the value of jumbo certificate-of-deposit (CD) signals in bank surveillance. To do so, we first construct proxies for default premiums and deposit runoffs and then rank banks based on these risk proxies. Next, we rank banks based on the output of a logit model typical of the econometric models used in off-site surveillance. Finally, we compare jumbo-CD rankings and surveillance-model rankings as tools for predicting financial distress. More...

PUBLISHED: Federal Reserve Bank of Richmond Economic Quarterly, Spring 2006, 92(2), pp. 135-75

#2000-021A "The Role of a CAMEL Downgrade Model in Bank Surveillance"
by R. Alton Gilbert, Andrew P. Meyer, and Mark D. Vaughan


This article examines the potential contribution to bank supervision of a model designed to predict which banks will have their supervisory ratings downgraded in future periods. Bank supervisors rely on various tools of off-site surveillance to track the condition of banks under their jurisdiction between on-site examinations, including econometric models. More...

PUBLISHED: Published as " Can Feedback From the Jumbo CD Market Improve Off-Site Surveillance of Community Banks?" in Kaufman, ed., Prompt Corrective Action Ten Years Later, New York, JAI/Elsevier Press