We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from … structure assigns a separate estimator for short- and long-term default risk to each maturity. Applying the Duan (1994) maximum … likelihood approach, we find for Kazakhstan that the overall crisis probability was mainly driven by short-term risk, which …

traders adjust the premium more for transactions with higher inventory risk. Third, trading with buy-side investors who …

sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by …

Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 … macroeconomic factors allows us to analyze their effect on the risk aversion of market participants. Looking at the impact of the … recent crises, we see that particularly the market prices of risk for the real activity and the price factor changed most …

find themselves in a position in which their solvency is at risk. A scenario analysis is used to examine the stage at which … funds requirements. This points to a potential solvency risk in the life insurance industry. …

find themselves in a position in which their solvency is at risk. A scenario analysis is used to examine the stage at which … funds requirements. This points to a potential solvency risk in the life insurance industry. …