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 others.
- Publisher
- Springer International Publishing
- Issue Date
- 2020-06
- Language
- English
- Citation
20th International Conference on Computational Science, ICCS 2020, pp.413 - 421
- ISSN
- 0302-9743
- Appears in Collection
- IE-Conference Papers(학술회의논문)
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