Konu "Default risk" için İktisadi ve İdari Bilimler Fakültesi Koleksiyonu listeleme
Toplam kayıt 2, listelenen: 1-2
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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 ... -
Estimating volatility clustering and variance risk premium effects on bank default indicators
(Springer, 2021)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 ...