Stochastic Volatility and Early Warning Indicator

We extend Merton’s framework by adopting stochastic volatility to propose an early warning indicator for banks’ credit risk. Bayesian inference is employed to estimate the parameters of Heston model. We provide empirical evidence and demonstrate the comparative strength of our risk measure over othe...

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Detalles Bibliográficos
Autores principales: Ji, Guseon, Kong, Hyeongwoo, Kim, Woo Chang, Ahn, Kwangwon
Formato: Online Artículo Texto
Lenguaje:English
Publicado: 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7302246/
http://dx.doi.org/10.1007/978-3-030-50371-0_30
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author Ji, Guseon
Kong, Hyeongwoo
Kim, Woo Chang
Ahn, Kwangwon
author_facet Ji, Guseon
Kong, Hyeongwoo
Kim, Woo Chang
Ahn, Kwangwon
author_sort Ji, Guseon
collection PubMed
description We extend Merton’s framework by adopting stochastic volatility to propose an early warning indicator for banks’ credit risk. Bayesian inference is employed to estimate the parameters of Heston model. We provide empirical evidence and demonstrate the comparative strength of our risk measure over others.
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spelling pubmed-73022462020-06-18 Stochastic Volatility and Early Warning Indicator Ji, Guseon Kong, Hyeongwoo Kim, Woo Chang Ahn, Kwangwon Computational Science – ICCS 2020 Article We extend Merton’s framework by adopting stochastic volatility to propose an early warning indicator for banks’ credit risk. Bayesian inference is employed to estimate the parameters of Heston model. We provide empirical evidence and demonstrate the comparative strength of our risk measure over others. 2020-05-26 /pmc/articles/PMC7302246/ http://dx.doi.org/10.1007/978-3-030-50371-0_30 Text en © Springer Nature Switzerland AG 2020 This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Ji, Guseon
Kong, Hyeongwoo
Kim, Woo Chang
Ahn, Kwangwon
Stochastic Volatility and Early Warning Indicator
title Stochastic Volatility and Early Warning Indicator
title_full Stochastic Volatility and Early Warning Indicator
title_fullStr Stochastic Volatility and Early Warning Indicator
title_full_unstemmed Stochastic Volatility and Early Warning Indicator
title_short Stochastic Volatility and Early Warning Indicator
title_sort stochastic volatility and early warning indicator
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7302246/
http://dx.doi.org/10.1007/978-3-030-50371-0_30
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AT konghyeongwoo stochasticvolatilityandearlywarningindicator
AT kimwoochang stochasticvolatilityandearlywarningindicator
AT ahnkwangwon stochasticvolatilityandearlywarningindicator

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