Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6345
Title: Bank default indicators with volatility clustering
Authors: Kenç, Turalay
Çevik, Emrah İsmail
Dibooğlu, Sel
Keywords: Default risk
Structural credit risk models
Contingent claims
GARCH option pricing
Bank defaults
Issue Date: 2021
Publisher: Springer Heidelberg
Abstract: 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.
URI: https://doi.org/10.1007/s10436-020-00369-x
https://hdl.handle.net/20.500.11851/6345
ISSN: 1614-2446
1614-2454
Appears in Collections:İşletme Bölümü / Department of Management
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

Show full item record

CORE Recommender

SCOPUSTM   
Citations

2
checked on Sep 23, 2022

WEB OF SCIENCETM
Citations

4
checked on Sep 24, 2022

Page view(s)

34
checked on Dec 5, 2022

Google ScholarTM

Check

Altmetric


Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.