A common measure of credit risk in the banking sector is

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The TED spread (Treasury-Eurodollar spread) is a common measure of credit risk in the banking sector. It is the difference between the interest rates on interbank loans and short-term US government debt (represented by Treasury bills). The wider the TED spread, the higher the perceived credit risk in the market. Systemic risk is a measure of the risk that an event will cause a widespread shock to the financial system. LIBOR (London Interbank Offered Rate) is the interest rate at which banks lend to each other in the London market, and is used as a benchmark for many financial products. While LIBOR is related to credit risk, it is not a specific measure of it.

A Common Measure of Credit Risk in the Banking Sector