In a uniquely designed empirical set-up involving a large set of Indian banks, this study establishes the relationship between market-based measures of default risk represented by Distance-to-Default (DD) and Distance-to-Capital (DC), and the market power reflected through the efficiency-based Lerner index. The results exhibit an inverse relationship between bank market power and bank default risk. Gross Nonperforming Assets (GNPAs), economic growth, and stock market volatility appear as other significant determinants of default risk. In the Indian context, this is the first study that utilizes a bank risk measure that incorporates the capital adequacy thresholds embedded under the Prompt Corrective Action (PCA) framework.

在涉及大量印度银行的独特设计的实证设置中，本研究建立了以违约距离 (DD) 和资本距离 (DC) 为代表的基于市场的违约风险度量之间的关系，以及通过基于效率的勒纳指数反映的市场力量。结果表明银行市场力量与银行违约风险之间存在反比关系。不良资产总额 (GNPA)、经济增长和股市波动似乎是违约风险的其他重要决定因素。在印度，这是第一项利用银行风险衡量标准的研究，该衡量标准结合了即时纠正措施 (PCA) 框架下的资本充足率阈值。