Bank default indicators with volatility clustering

DOI10.1007/S10436-020-00369-XzbMath1467.91199OpenAlexW3036505948MaRDI QIDQ2036008

Emrah Ismail Cevik, Sel Dibooglu, Turalay Kenc

Publication date: 28 June 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00369-x

zbMATH Keywords

contingent claimsdefault riskstructural credit risk modelsbank defaultsGARCH option pricing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Cites Work

• An empirical comparison of GARCH option pricing models
• THE GARCH OPTION PRICING MODEL
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

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