Estimating volatility clustering and variance risk premium effects on bank default indicators
Yükleniyor...
Dosyalar
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Springer
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to protect themselves from such increases in volatility. It manifested in the aftermath of the Global Financial Crisis of 2008–2009 with unpleasant outcomes of many bankruptcies and severe financial distress. To account for these features, we adapted the structural credit risk approach to include both time-varying (return) volatility and risk premium about the return volatility itself. By applying the model to US banks, we obtain better bank default indicators in comparison to the benchmark models. © 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.
Açıklama
Anahtar Kelimeler
Banking, Default risk, GARCH option pricing, Structural credit risk, Variance risk premiums
Kaynak
Review of Quantitative Finance and Accounting
WoS Q Değeri
N/A
Scopus Q Değeri
Q2
Cilt
57
Sayı
4
