#2699. Estimating volatility clustering and variance risk premium effects on bank default indicators

October 2026publication date
Proposal available till 29-05-2025
4 total number of authors per manuscript3510 $

The title of the journal is available only for the authors who have already paid for
Journal’s subject area:
Economics, Econometrics and Finance (miscellaneous);
Finance;
Accounting;
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Abstract:
The risk of default increases significantly during periods of financial stress mainly for two reasons: clustering of volatility and the desire of investors to protect themselves from such an increase in volatility. This manifested itself after the global financial crisis of 20XX – 20XX, with the unpleasant consequences of many bankruptcies and serious financial difficulties.
Keywords:
Banking; Default risk; GARCH option pricing; Structural credit risk; Variance risk premiums

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