具有波动性聚类的银行违约指标

IF 0.8 Q4 BUSINESS, FINANCE

Annals of Finance Pub Date : 2020-06-18 DOI:10.1007/s10436-020-00369-x

Turalay Kenc, Emrah Ismail Cevik, Sel Dibooglu

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引用次数: 4

摘要

我们使用一个能够处理波动性集群的模型来估计美国银行的违约措施，就像在全球金融危机期间观察到的那样。为了考虑波动性的时间变化，我们采用了GARCH期权定价模型，该模型扩展了Merton的开创性违约结构方法（J Finance 29（2）:44491974），并计算了响应市场发展加剧的“违约距离”指标。由于其更丰富的波动性动态，我们的结果更好地反映了GFC引发的更高的预期违约概率。诊断结果表明，该模型通常优于标准违约模型，并在评估银行倒闭方面提供了相对较好的指标。

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Bank default indicators with volatility clustering

We estimate default measures for US banks using a model capable of handling volatility clustering like those observed during the Global Financial Crisis (GFC). In order to account for the time variation in volatility, we adapted a GARCH option pricing model which extends the seminal structural approach of default by Merton (J Finance 29(2):449, 1974) and calculated “distance to default” indicators that respond to heightened market developments. With its richer volatility dynamics, our results better reflect higher expected default probabilities precipitated by the GFC. The diagnostics show that the model generally outperforms standard models of default and offers relatively good indicators in assessing bank failures.

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来源期刊

Annals of Finance BUSINESS, FINANCE-

CiteScore

2.00

自引率

10.00%

发文量

期刊介绍： Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance