Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/37189 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk No. F1-V4
Verlag: 
Verein für Socialpolitik, Frankfurt a. M.
Zusammenfassung: 
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.
Schlagwörter: 
Banking crisis
Bank default
Option pricing theory
Compound option
Liability structure
JEL: 
G21
G32
G12
Dokumentart: 
Conference Paper

Datei(en):
Datei
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