Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/6660
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kenç, Turalay | - |
dc.contributor.author | Çevik, Emrah İsmail | - |
dc.date.accessioned | 2021-09-11T15:43:06Z | - |
dc.date.available | 2021-09-11T15:43:06Z | - |
dc.date.issued | 2021 | en_US |
dc.identifier.issn | 0924-865X | - |
dc.identifier.issn | 1573-7179 | - |
dc.identifier.uri | https://doi.org/10.1007/s11156-021-00981-6 | - |
dc.identifier.uri | https://hdl.handle.net/20.500.11851/6660 | - |
dc.description.abstract | Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors' desire to protect themselves from such increases in volatility. It manifested in the aftermath of the Global Financial Crisis of 2008-2009 with unpleasant outcomes of many bankruptcies and severe financial distress. To account for these features, we adapted the structural credit risk approach to include both time-varying (return) volatility and risk premium about the return volatility itself. By applying the model to US banks, we obtain better bank default indicators in comparison to the benchmark models. | en_US |
dc.language.iso | en | en_US |
dc.publisher | Springer | en_US |
dc.relation.ispartof | Review of Quantitative Finance And Accounting | en_US |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Default risk | en_US |
dc.subject | Structural credit risk | en_US |
dc.subject | GARCH option pricing | en_US |
dc.subject | Banking | en_US |
dc.subject | Variance risk premiums | en_US |
dc.title | Estimating Volatility Clustering and Variance Risk Premium Effects on Bank Default Indicators | en_US |
dc.type | Article | en_US |
dc.department | Faculties, Faculty of Economics and Administrative Sciences, Department of Management | en_US |
dc.department | Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümü | tr_TR |
dc.identifier.wos | WOS:000644735300001 | en_US |
dc.identifier.scopus | 2-s2.0-85105410028 | en_US |
dc.institutionauthor | Kenç, Turalay | - |
dc.identifier.doi | 10.1007/s11156-021-00981-6 | - |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.scopusquality | Q2 | - |
item.openairetype | Article | - |
item.languageiso639-1 | en | - |
item.grantfulltext | none | - |
item.fulltext | No Fulltext | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.cerifentitytype | Publications | - |
crisitem.author.dept | 04.03. Department of Management | - |
Appears in Collections: | İşletme Bölümü / Department of Management Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
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