Konu "Bank defaults" için İktisadi ve İdari Bilimler Fakültesi Koleksiyonu listeleme
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Bank default indicators with volatility clustering
(Springer Science and Business Media Deutschland GmbH, 2021)We 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 ...