The term structure of banking crisis risk in the United States: A market data based compound option approach
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Cited by:
- Kauko, Karlo, 2014. "How to foresee banking crises? A survey of the empirical literature," Economic Systems, Elsevier, vol. 38(3), pages 289-308.
- Driouchi, Tarik & So, Raymond H.Y. & Trigeorgis, Lenos, 2020. "Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail," Journal of Corporate Finance, Elsevier, vol. 62(C).
- Betz, Frank & Oprică, Silviu & Peltonen, Tuomas A. & Sarlin, Peter, 2014.
"Predicting distress in European banks,"
Journal of Banking & Finance, Elsevier, vol. 45(C), pages 225-241.
- Betz, Frank & Oprica, Silviu & Peltonen, Tuomas A. & Sarlin, Peter, 2013. "Predicting distress in European banks," Working Paper Series 1597, European Central Bank.
- Caggiano, Giovanni & Calice, Pietro & Leonida, Leone, 2014. "Early warning systems and systemic banking crises in low income countries: A multinomial logit approach," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 258-269.
- Kehinde Damilola Ilesanmi & Devi Datt Tewari, 2021. "An Early Warning Signal (EWS) Model for Predicting Financial Crisis in Emerging African Economies," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(1), pages 101-110, January.
- Ranjeeni, Kumari, 2014. "Sectoral and industrial performance during a stock market crisis," Economic Systems, Elsevier, vol. 38(2), pages 178-193.
- Wang, Xiandong & He, Jianmin, 2017. "A simple method for generalized sequential compound options pricing," Mathematical Social Sciences, Elsevier, vol. 87(C), pages 85-91.
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Keywords
Banking crisis Bank default Option pricing theory Compound option Liability structure;Statistics
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