Default risk increases substantially during financial stress times due to mainly the two reasons: volatility clustering and investors’ desire to protect themselves from such increases in volatility. It manifested in the aftermath of the Global Financial Crisis of 2008–2009 with unpleasant outcomes of many bankruptcies and severe financial distress. To account for these features, we adapted the structural credit risk approach to include both time-varying (return) volatility and risk premium about the return volatility itself. By applying the model to US banks, we obtain better bank default indicators in comparison to the benchmark models.

中文翻译：

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估计波动率聚类和方差风险溢价对银行违约指标的影响

在财务压力时期，违约风险大幅增加，主要是由于以下两个原因：波动性集群以及投资者希望保护自己免受波动性增加的影响。它体现在2008-2009年全球金融危机的后果中，许多破产带来了令人不快的结果，财务严重困境。考虑到这些特征，我们对结构性信用风险方法进行了调整，使其既包括时变（收益）波动率，也包括有关收益率波动率本身的风险溢价。通过将模型应用于美国银行，与基准模型相比，我们可以获得更好的银行违约指标。