Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/32551
Authors: 
Eichler, Stefan
Karmann, Alexander
Maltritz, Dominik
Year of Publication: 
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

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