@inproceedings{Karmann2010Deriving,
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 a. M.},
author = {Alexander Karmann and Stefan Eichler and Dominik Maltritz},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G21; G32; G12; 330; Banking crisis; Bank default; Option pricing theory; Compound option; Liability structure},
language = {eng},
number = {F1-V4},
publisher = {Verein f\"{u}r Socialpolitik},
series = {Beitr\"{a}ge zur Jahrestagung des Vereins f\"{u}r Socialpolitik 2010: \"{O}konomie der Familie - Session: Modeling Financial Market Risk},
title = {Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach},
url = {http://hdl.handle.net/10419/37189},
year = {2010}
}
