Publication:
Estimating volatility clustering and variance risk premium effects on bank default indicators
| DC Field | Value | |
|---|---|---|
| dc.contributor.author | Turalay Kenc | |
| dc.date.accessioned | 2022-05-29T06:28:09Z | |
| dc.date.available | 2022-05-29T06:28:09Z | |
| dc.date.issued | 2021 | |
| 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.identifier.citation | Kenc, T., Cevik, E. I. (2021). Estimating volatility clustering and variance risk premium effects on bank default indicators. Review of Quantitative Finance Accounting, 57, pp. 1373-1392. | en_US |
| dc.identifier.doi | https://doi.org/10.1007/s11156-021-00981-6 | |
| dc.identifier.uri | https://ikr.inceif.org/handle/INCEIF/3577 | |
| dc.language | English | |
| dc.language.iso | eng | en_US |
| dc.publisher | Springer Science+Business Media | en_US |
| dc.rights | 2021. The Authors | |
| dc.source | SEDONA | |
| 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 | Journal Article | en_US |
| dlc.maintopic | Conventional finance | en_US |
| dspace.entity.type | Publication | |
| ikr.doctype | Scholarly Works | |
| ikr.topic.maintopic | Conventional finance | en_US |
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