İşletme Bölümü / Department of Business Administration

Permanent URI for this collectionhttps://gcris3.etu.edu.tr/handle/20.500.11851/271

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Browsing İşletme Bölümü / Department of Business Administration by Author "Çevik, Emrah İsmail"

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    Citation - Scopus: 6
    Bank Default Indicators With Volatility Clustering
    (Springer Heidelberg, 2021) Kenç, Turalay; Çevik, Emrah İsmail; Dibooğlu, Sel
    We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated "distance to default" indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures.
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    Article
    Citation - Scopus: 5
    Estimating Volatility Clustering and Variance Risk Premium Effects on Bank Default Indicators
    (Springer, 2021) Kenç, Turalay; Çevik, Emrah İsmail
    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.