|
EconStor >
Verein für Socialpolitik >
Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/37189
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Karmann, Alexander | | en_US |
| dc.contributor.author | | Eichler, Stefan | | en_US |
| dc.contributor.author | | Maltritz, Dominik | | en_US |
| dc.date.accessioned | | 2010-08-11T09:09:38Z | | - |
| dc.date.available | | 2010-08-11T09:09:38Z | | - |
| dc.date.issued | | 2010 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/37189 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Verein für Socialpolitik Frankfurt a. M. | | en_US |
| dc.relation.ispartofseries | | Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk F1-V4 | | en_US |
| dc.subject.jel | | G21 | | en_US |
| dc.subject.jel | | G32 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Banking crisis | | en_US |
| dc.subject.keyword | | Bank default | | en_US |
| dc.subject.keyword | | Option pricing theory | | en_US |
| dc.subject.keyword | | Compound option | | en_US |
| dc.subject.keyword | | Liability structure | | en_US |
| dc.title | | Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach | | en_US |
| dc.type | | Conference Paper | | en_US |
| dc.identifier.ppn | | 654869529 | | - |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Jahrestagung des Vereins für Socialpolitik 2010 (Kiel): Ökonomie der Familie
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|