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Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >
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http://hdl.handle.net/10419/32551
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| Title: | | Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan  |
| Authors: | | Eichler, Stefan Karmann, Alexander Maltritz, Dominik |
| Issue Date: | | 2010 |
| Series/Report no.: | | Discussion Paper Series 2: Banking and financial studies 2010,01 |
| 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. |
| Subjects: | | Banking crisis bank default option pricing theory compound option liability structure |
| JEL: | | G21 G17 G32 G12 G18 |
| ISBN: | | 978-3-86558-607-0 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank
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