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Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
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http://hdl.handle.net/10419/37189
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| Title: | | Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach  |
| Authors: | | Karmann, Alexander Eichler, Stefan Maltritz, Dominik |
| Issue Date: | | 2010 |
| Series/Report no.: | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V4 |
| 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 G32 G12 |
| Document Type: | | Conference Paper |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
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