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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

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

Sovereign risk in a structural approach : evaluating sovereign ability-to-pay and probability of default

Karmann, Alexander; Maltritz, Dominik - In: Credit risk : measurement, evaluation and management ; …, (pp. 91-109). 2003

Persistent link: https://www.econbiz.de/10002001473

Sovereign risk in a structural approach : evaluating sovereign ability-to-pay and probability of default

Karmann, Alexander; Maltritz, Dominik - 2003

Persistent link: https://www.econbiz.de/10001751548

Sovereign risk, reserves, and implicit default probabilities : an option based spread analysis

Karmann, Alexander - In: Financial structure and stability, (pp. 232-244). 2000

Persistent link: https://www.econbiz.de/10001520923

Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach

Karmann, Alexander; Eichler, Stefan; 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/10010270187

Modelling the dependency between currency and debt crises : an option based approach

Maltritz, Dominik - In: Economics letters 100 (2008) 3, pp. 344-347

Persistent link: https://www.econbiz.de/10003768771

Currency crisis prediction using ADR market data : an options-based approach

Maltritz, Dominik; Eichler, Stefan - In: International journal of forecasting 26 (2010) 4, pp. 858-884

Persistent link: https://www.econbiz.de/10008807699

"Country risk-indicator. An option based evaluation" implicit default probabilities of foreign USD bonds

Karmann, Alexander; Plate, Mike - In: Datamining und computational finance : Ergebnisse des …, (pp. 43-50). 2000

Persistent link: https://www.econbiz.de/10001484234

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