@techreport{Eichler2010Deriving,
abstract = {We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency.  Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which increased from 25% in March 2007 to 80% in December 2008. Concurrently, the long-term default risk increased from 20% to only 25% during the same period.},
address = {Frankfurt am Main},
author = {Stefan Eichler and Alexander Karmann and Dominik Maltritz},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
isbn = {978-3-86558-607-0},
keywords = {G21; G17; G32; G12; G18; 330; Banking crisis; bank default; option pricing theory; compound option; liability structure; Bankenkrise; Bankinsolvenz; Kreditrisiko; Zinsstruktur; Optionspreistheorie; Sch\"{a}tzung; Kasachstan},
language = {eng},
number = {2010,01},
publisher = {Deutsche Bundesbank},
title = {Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan},
type = {Discussion Paper Series 2: Banking and financial studies},
url = {http://hdl.handle.net/10419/32551},
year = {2010}
}

