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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Karmann, Alexander | en |
dc.contributor.author | Eichler, Stefan | en |
dc.contributor.author | Maltritz, Dominik | en |
dc.date.accessioned | 2010-08-11T09:09:38Z | - |
dc.date.available | 2010-08-11T09:09:38Z | - |
dc.date.issued | 2010 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aVerein für Socialpolitik |cFrankfurt a. M. | en |
dc.relation.ispartofseries | |aBeiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Modeling Financial Market Risk |xF1-V4 | en |
dc.subject.jel | G21 | en |
dc.subject.jel | G32 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Banking crisis | en |
dc.subject.keyword | Bank default | en |
dc.subject.keyword | Option pricing theory | en |
dc.subject.keyword | Compound option | en |
dc.subject.keyword | Liability structure | en |
dc.title | Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach | - |
dc.type | Conference Paper | en |
dc.identifier.ppn | 654869529 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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