Bank default indicators with volatility clustering
Year of publication: |
2021
|
---|---|
Authors: | Kenç, Turalay ; Cevik, Emrah Ismail ; Dibooglu, Sel |
Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 17.2021, 1, p. 127-151
|
Subject: | Default risk | Structural credit risk models | Contingent claims | GARCH option pricing | Bank defaults | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | ARCH-Modell | ARCH model | Insolvenz | Insolvency | Volatilität | Volatility | Bankrisiko | Bank risk |
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