We examine the time series behavior of the stock prices and bond yields of a set of large banks and financial institutions that failed or were taken over in distress in 2008. We find evidence that both the risk-neutral probability of default implied by bond yields and the steady decline in stock prices preceded the eventual defaults by several quarters. Our results are consistent with the model of Berkowitz, Kumar and Langberg (2009) and support the view that statistical warning signs may have been available to regulators with a substantial lead time.