Bank default indicators with volatility clustering

Basit Öğe Kaydı
dc.authorscopusid6507301034
dc.authorscopusid26653963900
dc.authorscopusid8873464300
dc.contributor.authorKenc, T.
dc.contributor.authorÇevik, Emrah İsmail
dc.contributor.authorDibooğlu, Sel
dc.date.accessioned2022-05-11T14:04:47Z
dc.date.available2022-05-11T14:04:47Z
dc.date.issued2021
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractWe estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated “distance to default” indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures. © 2020, Springer-Verlag GmbH Germany, part of Springer Nature.
dc.identifier.doi10.1007/s10436-020-00369-x
dc.identifier.endpage151
dc.identifier.issn1614-2446
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85086662275
dc.identifier.scopusqualityQ2
dc.identifier.startpage127
dc.identifier.urihttps://doi.org/10.1007/s10436-020-00369-x
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4773
dc.identifier.volume17
dc.identifier.wosWOS:000541223400001
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherSpringer Science and Business Media Deutschland GmbH
dc.relation.ispartofAnnals of Finance
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectBank defaults
dc.subjectContingent claims
dc.subjectDefault risk
dc.subjectGARCH option pricing
dc.subjectStructural credit risk models
dc.titleBank default indicators with volatility clustering
dc.typeArticle

Dosyalar

Orijinal paket
Listeleniyor 1 - 1 / 1
Küçük Resim Yok
İsim:
4773.pdf
Boyut:
560.45 KB
Biçim:
Adobe Portable Document Format
Açıklama:
Tam Metin / Full Text
İndir

Koleksiyon

WoS İndeksli Yayınlar Koleksiyonu
İktisadi ve İdari Bilimler Fakültesi Koleksiyonu
Scopus İndeksli Yayınlar Koleksiyonu