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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
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
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The ADR shadow exchange rate as an early warning indicator for currency crises
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - In: Journal of banking & finance 33 (2009) 11, pp. 1983-1995
Persistent link: https://www.econbiz.de/10003892163
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On the look-out for a white knight : options-based calculation of probability and expected value of increased bids in hostile takeover battles
Eichler, Stefan; Maltritz, Dominik - In: Applied economics letters 17 (2010) 10/12, pp. 1033-1036
Persistent link: https://www.econbiz.de/10008698349
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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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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
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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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Stock market-induced currency crises : a new type of twins
Eichler, Stefan; Maltritz, Dominik - In: Review of development economics 15 (2011) 2, pp. 223-236
Persistent link: https://www.econbiz.de/10009152941
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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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Modelling country default risk as a latent variable : a multiple indicators multiple causes approach
Maltritz, Dominik; Bühn, Andreas; Eichler, Stefan - In: Applied economics 44 (2012) 34/36, pp. 4679-4688
Persistent link: https://www.econbiz.de/10009713354