9
H index
9
i10 index
913
Citations
Federal Reserve Board (Board of Governors of the Federal Reserve System) | 9 H index 9 i10 index 913 Citations RESEARCH PRODUCTION: 13 Articles 22 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Gordy. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 4 |
Journal of Financial Intermediation | 2 |
Management Science | 2 |
Working Papers Series with more than one paper published | # docs |
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Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.) | 14 |
Proceedings / Federal Reserve Bank of Chicago | 2 |
Year | Title of citing document |
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2020 | A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation. (2019). Yao, Jianing ; Ruszczynski, Andrzej . In: Papers. RePEc:arx:papers:1701.06234. Full description at Econpapers || Download paper |
2019 | An Aspect of Optimal Regression Design for LSMC. (2019). Nikoli, Zoran ; Weiss, Christian. In: Papers. RePEc:arx:papers:1811.08509. Full description at Econpapers || Download paper |
2019 | Pro-Cyclicality of Traditional Risk Measurements: Quantifying and Highlighting Factors at its Source. (2019). Dacorogna, Michel ; Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:1903.03969. Full description at Econpapers || Download paper |
2020 | Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295. Full description at Econpapers || Download paper |
2019 | Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2019). Korn, Ralf ; Nikoli, Zoran ; Krah, Anne-Sophie. In: Papers. RePEc:arx:papers:1909.02182. Full description at Econpapers || Download paper |
2019 | Sub-sampling and other considerations for efficient risk estimation in large portfolios. (2019). Haji-Ali, Abdul-Lateef ; Giles, Michael B. In: Papers. RePEc:arx:papers:1912.05484. Full description at Econpapers || Download paper |
2020 | Structured climate financing: valuation of CDOs on inhomogeneous asset pools. (2020). Packham, N. In: Papers. RePEc:arx:papers:2001.11891. Full description at Econpapers || Download paper |
2020 | The Fair Basis: Funding and capital in the reduced form framework. (2020). Lou, Wujiang . In: Papers. RePEc:arx:papers:2002.08531. Full description at Econpapers || Download paper |
2020 | Modelling volatility with v-transforms. (2020). McNeil, Alexander J. In: Papers. RePEc:arx:papers:2002.10135. Full description at Econpapers || Download paper |
2020 | Deep xVA solver -- A neural network based counterparty credit risk management framework. (2020). Gnoatto, Alessandro ; Reisinger, Christoph ; Picarelli, Athena. In: Papers. RePEc:arx:papers:2005.02633. Full description at Econpapers || Download paper |
2020 | Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593. Full description at Econpapers || Download paper |
2020 | Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling. (2020). Kandhai, Drona ; Garlaschelli, Diego ; Squartini, Tiziano ; Anagnostou, Ioannis. In: Papers. RePEc:arx:papers:2006.03014. Full description at Econpapers || Download paper |
2020 | Optimal Nested Simulation Experiment Design via Likelihood Ratio Method. (2020). Song, Eunhye ; ben Feng, Mingbin. In: Papers. RePEc:arx:papers:2008.13087. Full description at Econpapers || Download paper |
2020 | The measure of model risk in credit capital requirements. (2020). Baviera, Roberto. In: Papers. RePEc:arx:papers:2010.08028. Full description at Econpapers || Download paper |
2020 | Multilevel Monte-Carlo for computing the SCR with the standard formula and other stress tests. (2020). Cherchali, Adel ; Alfonsi, Aur'elien ; Infante, Jose Arturo. In: Papers. RePEc:arx:papers:2010.12651. Full description at Econpapers || Download paper |
2019 | Optimal Pricing of Deposit Insurance: Aiming at Fairness and Stability. (2019). Roy, Jean . In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev5i1-2. Full description at Econpapers || Download paper |
2019 | Should the CCYB be enhanced with a sectoral dimension? The case of Italy. (2019). Pacella, Claudia ; Fiori, Roberta . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_499_19. Full description at Econpapers || Download paper |
2019 | Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766. Full description at Econpapers || Download paper |
2020 | IRB Asset and Default Correlation: Rationale for the Macroprudential Add-ons to the Risk-Weights. (2020). Penikas, Henry. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps56. Full description at Econpapers || Download paper |
2020 | Estimating the probability of default for noâ€default and lowâ€default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107. Full description at Econpapers || Download paper |
2020 | A family of multivariate nonâ€gaussian time series models. (2020). Soyer, Refik ; Polson, Nicholas G ; Aktekin, Tevfik. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:691-721. Full description at Econpapers || Download paper |
2019 | Regulatory effects on short-term interest rates. (2019). Ranaldo, Angelo ; Vasios, Michalis ; Schaffner, Patrick. In: Bank of England working papers. RePEc:boe:boeewp:0801. Full description at Econpapers || Download paper |
2019 | Model-based regulation and firms access to finance. (2019). Tuuli, Saara. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_004. Full description at Econpapers || Download paper |
2020 | Forecasting expected and unexpected losses. (2020). Tarashev, Nikola ; Juselius, Mikael. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_018. Full description at Econpapers || Download paper |
2020 | The potential impact of financial portability measures on mortgage refinancing: Evidence from Chile. (2020). Madeira, Carlos. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:894. Full description at Econpapers || Download paper |
2020 | Twin Default Crises. (2020). Mendicino, Caterina ; Nikolov, Kalin ; Rubio-Ramirez, Juan Francisco ; Suarez, Javier ; Supera, Dominik. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14427. Full description at Econpapers || Download paper |
2019 | Overpricing in Spanish Treasury Auctions. (2019). Mazon, Cristina ; Alvarez, Francisco. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2019:v:20:i:1:alvarezmazon. Full description at Econpapers || Download paper |
2019 | Lower bank capital requirements as a policy tool to support credit to SMEs: evidence from a policy experiment. (2019). Lé, Mathias ; fraisse, henri ; Dietsch, Michel ; Le, Mathias ; Lecarpentier, Sandrine. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-12. Full description at Econpapers || Download paper |
2019 | Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225. Full description at Econpapers || Download paper |
2019 | Monetary policy, macroprudential policy, and financial stability. (2019). Repullo, Rafael ; Martinez-Miera, David. In: Working Paper Series. RePEc:ecb:ecbwps:20192297. Full description at Econpapers || Download paper |
2020 | Twin default crises. (2020). Nikolov, Kalin ; Ramirez, Juan-Rubio ; Supera, Dominik ; Suarez, Javier ; Mendicino, Caterina. In: Working Paper Series. RePEc:ecb:ecbwps:20202414. Full description at Econpapers || Download paper |
2020 | CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457. Full description at Econpapers || Download paper |
2019 | Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722. Full description at Econpapers || Download paper |
2020 | Cross-market liquidity and dealer profitability: Evidence from the bond and CDS markets. (2020). Szersze, Pawe J ; Aramonte, Sirio. In: Journal of Financial Markets. RePEc:eee:finmar:v:51:y:2020:i:c:s1386418120300288. Full description at Econpapers || Download paper |
2020 | Are bank capital requirements optimally set? Evidence from researchers’ views. (2020). Ristolainen, Kim ; HASAN, IFTEKHAR ; Ambrocio, Gene ; Jokivuolle, Esa. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300711. Full description at Econpapers || Download paper |
2019 | Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns. (2019). Li, Xiaohu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:84-91. Full description at Econpapers || Download paper |
2020 | Range Value-at-Risk bounds for unimodal distributions under partial information. (2020). Vanduffel, Steven ; Kazzi, Rodrigue ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:94:y:2020:i:c:p:9-24. Full description at Econpapers || Download paper |
2019 | Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:264-288. Full description at Econpapers || Download paper |
2020 | Sectoral risk-weights and macroprudential policy. (2020). Huber, Stefanie ; Vasilev, Konstantin ; Hodbod, Alexander. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426618300888. Full description at Econpapers || Download paper |
2019 | The asymmetric effect of equity volatility on credit default swap spreads. (2019). Lee, Hwang Hee ; Hyun, Jung-Soon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:125-136. Full description at Econpapers || Download paper |
2019 | The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk. (2019). Aragon, George O ; Qj, Jun ; Li, Lei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:168-185. Full description at Econpapers || Download paper |
2020 | Reputations and credit ratings: Evidence from commercial mortgage-backed securities. (2020). Baghai, Ramin P ; Becker, BO. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:425-444. Full description at Econpapers || Download paper |
2020 | OTC premia. (2020). Ranaldo, Angelo ; Vasios, Michalis ; Cenedese, Gino. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:86-105. Full description at Econpapers || Download paper |
2020 | Concentration of control rights in leveraged loan syndicates. (2020). Nini, Greg ; Berlin, Mitchell ; Yu, Edison G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:1:p:249-271. Full description at Econpapers || Download paper |
2020 | Debt collection agencies and the supply of consumer credit. (2020). Fedaseyeu, Viktar. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:193-221. Full description at Econpapers || Download paper |
2019 | Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). darolles, serge ; le Fol, Gaelle ; Sun, Ran ; Lu, Yang. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:181-203. Full description at Econpapers || Download paper |
2019 | Estimation of capital requirements in downturn conditions via the CBV model: Evidence from the Greek banking sector. (2019). Papalamprou, Konstantinos ; Antoniou, Paschalis. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716017301847. Full description at Econpapers || Download paper |
2019 | Oil prices and corporate high-yield spreads: Evidence from panels of nonenergy and energy European firms. (2019). Apergis, Nicholas. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:34-40. Full description at Econpapers || Download paper |
2019 | Choosing expected shortfall over VaR in Basel III using stochastic dominance. (2019). McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Perez-Amaral, Teodosio ; Maasoumi, Esfandiar . In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:95-113. Full description at Econpapers || Download paper |
2020 | Credit rating migration risk and interconnectedness in a corporate lending network. (2020). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310487. Full description at Econpapers || Download paper |
2019 | Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles. (2019). Casellina, S ; Uberti, M ; Landini, S. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:50:y:2019:i:c:p:175-189. Full description at Econpapers || Download paper |
2020 | Twin Default Crises. (2020). Suarez, Javier ; Nikolov, Kalin ; Rubio-Ramirez, Juan ; Mendicino, Caterina. In: Working Papers. RePEc:fda:fdaddt:2020-01. Full description at Econpapers || Download paper |
2019 | Does Price Regulation Affect Competition? Evidence from Credit Card Solicitations. (2019). Li, Geng ; Ronen, Joshua ; Dou, Yiwei. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-18. Full description at Econpapers || Download paper |
2020 | Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio. (2020). Di Clemente, Annalisa. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:129-:d:372631. Full description at Econpapers || Download paper |
2019 | Recent Regulation in Credit Risk Management: A Statistical Framework. (2019). Ewanchuk, Logan ; Frei, Christoph. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:40-:d:222690. Full description at Econpapers || Download paper |
2019 | Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem. (2019). Calderin-Ojeda, Enrique ; Sarabia, Jose Maria ; Gomez-Deniz, Emilio. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:68-:d:240529. Full description at Econpapers || Download paper |
2020 | Assessing Asset-Liability Risk with Neural Networks. (2020). Wuthrich, Mario V ; Ery, John ; Cheridito, Patrick. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:16-:d:318508. Full description at Econpapers || Download paper |
2020 | Machine Learning in Least-Squares Monte Carlo Proxy Modeling of Life Insurance Companies. (2020). Nikoli, Zoran ; Korn, Ralf ; Krah, Anne-Sophie. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:21-:d:323720. Full description at Econpapers || Download paper |
2020 | Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL. (2020). Pham, Ha ; Engelmann, Bernd. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:93-:d:407903. Full description at Econpapers || Download paper |
2019 | Stochastic Approximation Schemes for Economic Capital and Risk Margin Computations. (2019). Stazhynski, Uladzislau ; Gobet, Emmanuel ; Fort, Gersende ; Diallo, Babacar ; Crepey, Stephane ; Barrera, David. In: Post-Print. RePEc:hal:journl:hal-01710394. Full description at Econpapers || Download paper |
2019 | Bivariate integer-autoregressive process with an application to mutual fund flows. (2019). Sun, Ran ; Lu, Yang ; le Fol, Gaelle ; Darolles, Serge. In: Post-Print. RePEc:hal:journl:halshs-02418967. Full description at Econpapers || Download paper |
2020 | Multilevel Monte-Carlo methods and lower-upper bounds in Initial Margin computations. (2020). Zhou, A ; Gobet, Emmanuel ; de Marco, S ; Bourgey, F. In: Working Papers. RePEc:hal:wpaper:hal-02430430. Full description at Econpapers || Download paper |
2020 | Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589. Full description at Econpapers || Download paper |
2020 | The Cyclical Patterns of Capital Buffers: Evidence from Japanese Banks. (2020). Kai, Karen Lai . In: Hitotsubashi Journal of commerce and management. RePEc:hit:hitjcm:v:53:y:2020:i:1:p:49-68. Full description at Econpapers || Download paper |
2020 | Online Risk Monitoring Using Offline Simulation. (2020). Nelson, Barry L ; Hong, Jeff L ; Jiang, Guangxin. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:32:y:2020:i:2:p:356-375. Full description at Econpapers || Download paper |
2019 | Risk Analysis for Large Pools of Loans. (2019). Giesecke, Kay ; Sirignano, Justin. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:1:p:107-121. Full description at Econpapers || Download paper |
2019 | Strategic Selection of Risk Models and Bank Capital Regulation. (2019). Colliard, Jean-Edouard. In: Management Science. RePEc:inm:ormnsc:v:65:y:2019:i:6:p:2591-2606. Full description at Econpapers || Download paper |
2020 | The impact of population size on the risk of local government default. (2020). Gomez-Miranda, Maria Elena ; Navarro-Galera, Andres ; Lara-Rubio, Juan ; Buendia-Carrillo, Dionisio . In: International Tax and Public Finance. RePEc:kap:itaxpf:v:27:y:2020:i:5:d:10.1007_s10797-020-09591-9. Full description at Econpapers || Download paper |
2019 | Implications of Model Uncertainty for Bank Stress Testing. (2019). Poblacion, Javier ; Gross, Marco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:55:y:2019:i:1:d:10.1007_s10693-017-0275-4. Full description at Econpapers || Download paper |
2020 | When enough is not enough: bank capital and the Too-Big-To-Fail subsidy. (2020). Imerman, Michael B. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:4:d:10.1007_s11156-020-00877-x. Full description at Econpapers || Download paper |
2019 | Auction Mechanisms and Treasury Revenue. (2019). Yoshimoto, Hisayuki ; De Silva, Dakshina ; Barbosa, Klenio ; Yang, Liyu. In: Working Papers. RePEc:lan:wpaper:267027285. Full description at Econpapers || Download paper |
2019 | The Economic Consequences of Bankruptcy Reform. (2019). Notowidigdo, Matthew ; Wang, Jialan ; Liu, Feng ; Kluender, Raymond ; Gross, Tal. In: NBER Working Papers. RePEc:nbr:nberwo:26254. Full description at Econpapers || Download paper |
2019 | Benchmark Interest Rates When the Government is Risky. (2019). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick ; Schmid, Lukas. In: NBER Working Papers. RePEc:nbr:nberwo:26429. Full description at Econpapers || Download paper |
2019 | IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses. (2019). Yang, Bill Huajian ; Fei, Glenn ; Du, Zunwei ; Cui, Kaijie ; Wu, Biao. In: MPRA Paper. RePEc:pra:mprapa:93634. Full description at Econpapers || Download paper |
2020 | Combining monetary policy and prudential regulation: an agent-based modeling approach. (2020). Lima, Gilberto ; Alexandre, Michel. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-017-0209-0. Full description at Econpapers || Download paper |
2020 | Interbank rules during economic declines: Can banks safeguard capital base?. (2020). Steinbacher, Mitja ; Jagri, Timotej. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:2:d:10.1007_s11403-018-0228-5. Full description at Econpapers || Download paper |
2019 | Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks. (2019). Jamel, Lamia ; Derbali, Abdelkader. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:10:y:2019:i:2:d:10.1007_s13132-017-0473-1. Full description at Econpapers || Download paper |
2020 | A Heterogeneity Analysis on SPV Investment of Chinese Banks. (2020). Fu, YU ; Deng, Hui. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:5:f:10_5_10. Full description at Econpapers || Download paper |
2019 | Forward-looking asset correlations in the estimation of economic capital. (2019). Novales, Alfonso ; Fonollosa, Alexandre ; Chamizo, Alvaro. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1925. Full description at Econpapers || Download paper |
2020 | Deep xVA solver - A neural network based counterparty credit risk management framework. (2020). Reisinger, Christoph ; Picarelli, Athena ; Gnoatto, Alessandro. In: Working Papers. RePEc:ver:wpaper:07/2020. Full description at Econpapers || Download paper |
2020 | A Decade after the 2009 Global Recession : Macroeconomic and Financial Sector Policies. (2020). Koh, Wee Chian ; Yu, Shu. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9289. Full description at Econpapers || Download paper |
2019 | Predicting SME loan delinquencies during recession using accounting data and SME characteristics: The case of Greece. (2019). Giannopoulos, Vasilios ; Aggelopoulos, Eleftherios. In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:26:y:2019:i:2:p:71-82. Full description at Econpapers || Download paper |
2019 | Capital Regulation with Two Banking Sectors: Cyclicality and Implementation. (2019). Kim, Taejin ; Mangla, Vishal. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:2-3:p:485-537. Full description at Econpapers || Download paper |
2019 | Mâ€PRESSâ€CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress. (2019). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:51:y:2019:i:7:p:1923-1961. Full description at Econpapers || Download paper |
2020 | Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models. (2020). Lam, Henry ; Ko, Young Myoung ; Byon, Eunshin ; Pan, Qiyun. In: Naval Research Logistics (NRL). RePEc:wly:navres:v:67:y:2020:i:7:p:524-547. Full description at Econpapers || Download paper |
2019 | Cross-border loan portfolio diversification, capital requirements, and the European Banking Union. (2019). Viren, Matti ; Jokivuolle, Esa. In: BoF Economics Review. RePEc:zbw:bofecr:32019. Full description at Econpapers || Download paper |
2019 | The demand for central clearing: To clear or not to clear, that is the question. (2019). Pelizzon, Loriana ; Bellia, Mario ; Peltonen, Tuomas ; Panzica, Roberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:193. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Spectral backtests of forecast distributions with application to risk management In: Papers. [Full Text][Citation analysis] | paper | 2 |
2018 | Spectral Backtests of Forecast Distributions with Application to Risk Management.(2018) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | EXPECTATIONS OF FUNCTIONS OF STOCHASTIC TIME WITH APPLICATION TO CREDIT RISK MODELING In: Mathematical Finance. [Full Text][Citation analysis] | article | 1 |
2013 | Expectations of functions of stochastic time with application to credit risk modeling.(2013) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2017 | Special Issue: Monitoring Systemic Risk: Data, Models and Metrics In: Statistics & Risk Modeling. [Full Text][Citation analysis] | article | 0 |
2000 | A comparative anatomy of credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 269 |
1998 | A comparative anatomy of credit risk models.(1998) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 269 | paper | |
2002 | Saddlepoint approximation of CreditRisk+ In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
2006 | Switching costs and adverse selection in the market for credit cards: New evidence In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 53 |
2005 | Switching costs and adverse selection in the market for credit cards: new evidence.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
2012 | Granularity adjustment for mark-to-market credit risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 8 |
2010 | Granularity adjustment for mark-to-market credit risk models.(2010) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2003 | A risk-factor model foundation for ratings-based bank capital rules In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 284 |
2002 | A risk-factor model foundation for ratings-based bank capital rules.(2002) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 284 | paper | |
2006 | Procyclicality in Basel II: Can we treat the disease without killing the patient? In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 153 |
2019 | Computationally Convenient Distributional Assumptions for Common Value Auctions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 5 |
1997 | Computationally convenient distributional assumptions for common value auctions.(1997) In: Finance and Economics Discussion Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
1998 | Computationally Convenient Distributional Assumptions for Common-Value Auctions..(1998) In: Computational Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
1998 | A generalization of generalized beta distributions In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 5 |
2008 | Nested simulation in portfolio risk measurement In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 38 |
2010 | Nested Simulation in Portfolio Risk Measurement.(2010) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
2010 | Constant proportion debt obligations: a post-mortem analysis of rating models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 6 |
2012 | Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models.(2012) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2012 | On the distribution of a discrete sample path of a square-root diffusion In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Bayesian Estimation of Time-Changed Default Intensity Models In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 1 |
2016 | The Bank as Grim Reaper : Debt Composition and Bankruptcy Thresholds In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Counterparty Risk and Counterparty Choice in the Credit Default Swap Market In: Finance and Economics Discussion Series. [Full Text][Citation analysis] | paper | 9 |
2007 | The bank as grim reaper: debt composition and recoveries on defaulted debt In: Proceedings. [Citation analysis] | paper | 2 |
2000 | Credit VAR and risk-bucket capital rules: a reconciliation In: Proceedings. [Citation analysis] | paper | 11 |
2013 | Granularity Adjustment for Regulatory Capital Assessment In: International Journal of Central Banking. [Full Text][Citation analysis] | article | 8 |
Multiple Bids in a Multiple-Unit Common Value Auction In: Computing in Economics and Finance 1996. [Full Text][Citation analysis] | paper | 2 | |
Estimation of a Markov Model of Loan Seasoning with Aggregated Performance Data In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 1 | |
1999 | Hedging WinnerS Curse With Multiple Bids: Evidence From The Portuguese Treasury Bill Auction In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 23 |
1997 | Hedging Winners Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction.(1997) In: Microeconomics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
2007 | Granularity adjustment for Basel II In: Discussion Paper Series 2: Banking and Financial Studies. [Full Text][Citation analysis] | paper | 13 |
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