We use a compound option-based structural credit risk model to estimate banking crisis risk for the United States based on market data on bank stocks on a daily frequency. We contribute to the literature by providing separate information on short-term, long-term and total crisis risk instead of...

We compare two different approaches to assess country default risk by evaluating their forecast accuracy. In particular we analyze whether market based or rating based risk assessment is superior. To evaluate the forecast accuracy we analyze the differences between several default risk measures...

We develop an indicator for currency crisis risk using price spreads between American Depositary Receipts (ADRs) and their underlyings. This risk measure represents the mean exchange rate ADR investors expect after a potential currency crisis or realignment. It makes crisis prediction possible...

We present statistical backtesting procedures applicable in situations where few and heterogeneous probabilities have to be evaluated, as is typically the case when forecasting country default risk. These tests are applied to a sample of default probabilities assessed for 19 emerging market and...