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Deriving the term structure of banking crisis risk with a compound option approach : the case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10003962240
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Deriving the term structure of banking crisis risk with a compound option approach
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
Persistent link: https://www.econbiz.de/10008907374
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The term structure of banking crisis risk in the United States : a market data based compound option approach
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - In: Journal of banking & finance 35 (2011) 4, pp. 876-885
Persistent link: https://www.econbiz.de/10009244228
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The recent financial crisis : causes and impact on the Eurozone
Karmann, Alexander - In: Real and financial issues in the international economic …, (pp. 41-48). 2011
Persistent link: https://www.econbiz.de/10010193092
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Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10010300362
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Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach : The Case of Kazakhstan
Eichler, Stefan - 2016
We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...
Persistent link: https://www.econbiz.de/10012989249
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Financial crises and sovereign default : dependencies, timing and uncertainty in a stochastic framework
Maltritz, Dominik - In: Financial crises, sovereign risk and the role of …, (pp. 115-139). 2013
Persistent link: https://www.econbiz.de/10011286729
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A compound option approach to model the interrelation between banking crises and country defaults : the case of Hungary 2008
Maltritz, Dominik - In: Journal of banking & finance 34 (2010) 12, pp. 3025-3036
Persistent link: https://www.econbiz.de/10008901303