Bank default indicators with volatility clustering
Turalay Kenc, Emrah Ismail Cevik, Sel Dibooglu
| Year of publication: |
2021
|
|---|---|
| Authors: | Kenç, Turalay ; Cevik, Emrah Ismail ; Dibooglu, Sel |
| Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 17.2021, 1, p. 127-151
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| Subject: | Default risk | Structural credit risk models | Contingent claims | GARCH option pricing | Bank defaults | Kreditrisiko | Credit risk | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Insolvenz | Insolvency | ARCH-Modell | ARCH model | Bankrisiko | Bank risk | Basler Akkord | Basel Accord | Bank |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-020-00369-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012489940