Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/37189
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dc.contributor.authorKarmann, Alexanderen_US
dc.contributor.authorEichler, Stefanen_US
dc.contributor.authorMaltritz, Dominiken_US
dc.date.accessioned2010-08-11T09:09:38Z-
dc.date.available2010-08-11T09:09:38Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/37189-
dc.description.abstractWe 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.isoengen_US
dc.publisher|aVerein für Socialpolitik |cFrankfurt a. M.en_US
dc.relation.ispartofseries|aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk |xF1-V4en_US
dc.subject.jelG21en_US
dc.subject.jelG32en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordBanking crisisen_US
dc.subject.keywordBank defaulten_US
dc.subject.keywordOption pricing theoryen_US
dc.subject.keywordCompound optionen_US
dc.subject.keywordLiability structureen_US
dc.titleDeriving the Term Structure of Banking Crisis Risk with a Compound Option Approachen_US
dc.typeConference Paperen_US
dc.identifier.ppn654869529-
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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