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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...
Persistent link: https://www.econbiz.de/10010300362
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Deriving the term structure of banking crisis risk with a compound option approach
Eichler, Stefan; Karmann, Alexander; Maltritz, Dominik - 2010
Persistent link: https://www.econbiz.de/10008907374
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National politics and bank default risk in the eurozone
Eichler, Stefan; Sobański, Karol - In: Journal of financial stability 26 (2016), pp. 247-256
Persistent link: https://www.econbiz.de/10011705519
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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...
Persistent link: https://www.econbiz.de/10003962240
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Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach : The Case of Kazakhstan
Eichler, Stefan - 2016
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...
Persistent link: https://www.econbiz.de/10012989249
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Avoiding the fall into the loop : lsolating the transmission of bank-to-sovereign distress in the Euro Area
Böhm, Hannes; Eichler, Stefan - In: Journal of financial stability 51 (2020), pp. 1-18
Persistent link: https://www.econbiz.de/10012431759