Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/6660
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dc.contributor.authorKenç, Turalay-
dc.contributor.authorÇevik, Emrah İsmail-
dc.date.accessioned2021-09-11T15:43:06Z-
dc.date.available2021-09-11T15:43:06Z-
dc.date.issued2021en_US
dc.identifier.issn0924-865X-
dc.identifier.issn1573-7179-
dc.identifier.urihttps://doi.org/10.1007/s11156-021-00981-6-
dc.identifier.urihttps://hdl.handle.net/20.500.11851/6660-
dc.description.abstractDefault 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.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofReview of Quantitative Finance And Accountingen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectDefault risken_US
dc.subjectStructural credit risken_US
dc.subjectGARCH option pricingen_US
dc.subjectBankingen_US
dc.subjectVariance risk premiumsen_US
dc.titleEstimating volatility clustering and variance risk premium effects on bank default indicatorsen_US
dc.typeArticleen_US
dc.departmentFaculties, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümütr_TR
dc.identifier.wosWOS:000644735300001en_US
dc.identifier.scopus2-s2.0-85105410028en_US
dc.institutionauthorKenç, Turalay-
dc.identifier.doi10.1007/s11156-021-00981-6-
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.identifier.scopusqualityQ2-
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.openairetypeArticle-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
item.grantfulltextnone-
crisitem.author.dept04.03. 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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