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Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options

Carr, Peter; Wu, Liuren - In: Journal of banking & finance 31 (2007) 8, pp. 2383-2403

Persistent link: https://www.econbiz.de/10003522944

El riesgo cambiario crediticio medido a partir de opciones

Peña Sánchez, Alejandro Rubén - In: Revista de economía 16 (2009) 2, pp. 219-256

Persistent link: https://www.econbiz.de/10003961094

Deriving the term structure of banking crisis risk with a compound option approach: The case of Kazakhstan

Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...