Estimating volatility clustering and variance risk premium effects on bank default indicators

Turalay Kenc, Emrah Ismail Cevik

Year of publication:	2021
Authors:	Kenç, Turalay ; Cevik, Emrah Ismail
Subject:	Default risk \| Structural credit risk \| GARCH option pricing \| Banking \| Variance risk premiums \| Kreditrisiko \| Credit risk \| Risikoprämie \| Risk premium \| Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Bankrisiko \| Bank risk \| ARCH-Modell \| ARCH model \| Börsenkurs \| Share price \| Schätzung \| Estimation \| Optionsgeschäft \| Option trading

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