Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis
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- Hans Byström, 2003. "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Research Paper Series 92, Quantitative Finance Research Centre, University of Technology, Sydney.
References listed on IDEAS
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- William R. Cline, 2010. "Financial Globalization, Economic Growth, and the Crisis of 2007-09," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 499, October.
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More about this item
Keywordsbanking crisis; default; credit risk; extreme value theory;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-EEC-2003-03-19 (European Economics)
- NEP-FMK-2003-03-19 (Financial Markets)
- NEP-RMG-2003-03-19 (Risk Management)
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