Bernd Schwaab : Citation Profile


Are you Bernd Schwaab?

European Central Bank

9

H index

9

i10 index

258

Citations

RESEARCH PRODUCTION:

9

Articles

20

Papers

1

Chapters

RESEARCH ACTIVITY:

   8 years (2008 - 2016). See details.
   Cites by year: 32
   Journals where Bernd Schwaab has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 16 (5.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc589
   Updated: 2017-06-24    RAS profile: 2017-02-06    
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Relations with other researchers


Works with:

Lucas, André (18)

Koopman, Siem Jan (11)

Zhang, Xin (7)

Creal, Drew (2)

Eser, Fabian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bernd Schwaab.

Is cited by:

Lucas, André (39)

Koopman, Siem Jan (21)

Blasques, Francisco (15)

Schaumburg, Julia (12)

Fratzscher, Marcel (9)

Schienle, Melanie (9)

Hautsch, Nikolaus (9)

Nadal De Simone, Francisco (9)

Ehrmann, Michael (8)

Beetsma, Roel (6)

Kräussl, Roman (5)

Cites to:

Lucas, André (60)

Koopman, Siem Jan (60)

Duffie, Darrell (26)

Creal, Drew (19)

Pedersen, Lasse (10)

Bai, Jushan (10)

Zhou, Hao (10)

Ng, Serena (10)

Zhang, Xin (9)

Vayanos, Dimitri (9)

Singleton, Kenneth (8)

Main data


Where Bernd Schwaab has published?


Journals with more than one article published# docs
Research Bulletin2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute10
Working Paper Series / European Central Bank8

Recent works citing Bernd Schwaab (2017 and 2016)


YearTitle of citing document
2016Switching-GAS Copula Models With Application to Systemic Risk. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1504.03733.

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2016Allocation of risk capital in a cost cooperative game induced by a modified Expected Shortfall. (2016). Palestini, Arsen ; Cerqueti, Roy ; Mauro, Bernardi . In: Papers. RePEc:arx:papers:1608.02365.

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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1702.05944.

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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schlepper, Kathi ; Schrimpf, Andreas ; Riordan, Ryan ; Hofer, Heiko . In: BIS Working Papers. RePEc:bis:biswps:625.

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2016Spline-DCS for Forecasting Trade Volume in High-Frequency Finance. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1606.

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2016Asymptotic Theory for Beta-t-GARCH. (2016). Ito, Ryoko . In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1607.

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2016Risk Premiums in Slovak Government Bonds. (2016). Odor, Ludovit ; Povala, Pavol . In: Discussion Papers. RePEc:cbe:dpaper:201603.

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2016Integration of Government Bond Market in the Euro Area and Monetary Policy. (2016). Luki, Velimir . In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:5:y:2016:i:1:p:71-97.

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2016The Collateral Framework of the Eurosystem and Its Fiscal Implications. (2016). Eberl, Jakob Korbinian . In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:69.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2016Necessity as the mother of invention monetary policy after the crisis. (2016). Jansen, David-Jan ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan. In: DNB Working Papers. RePEc:dnb:dnbwpp:525.

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2016Bank capital structure and the credit channel of central bank asset purchases. (2016). Kok, Christoffer ; Halaj, Grzegorz ; DARRACQ PARIES, Matthieu ; Haaj, Grzegorz . In: Working Paper Series. RePEc:ecb:ecbwps:20161916.

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2016Home bias in bank sovereign bond purchases and the bank-sovereign nexus. (2016). Andreeva, Desislava C ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20161977.

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2017Inside asset purchase programs: the effects of unconventional policy on banking competition. (2017). Wedow, Michael ; Koetter, Michael ; Podlich, Natalia . In: Working Paper Series. RePEc:ecb:ecbwps:20172017.

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2017Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. (2017). De Santis, Roberto A ; Holm-Hadulla, Federic . In: Working Paper Series. RePEc:ecb:ecbwps:20172052.

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2017The importance of being special: repo markets during the crisis. (2017). Corradin, Stefano ; Maddaloni, Angela . In: Working Paper Series. RePEc:ecb:ecbwps:20172065.

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2016Semiparametric score driven volatility models. (2016). Lucas, André ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

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2016Causes and hazards of the euro area sovereign debt crisis: Pure and fundamentals-based contagion. (2016). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta . In: Economic Modelling. RePEc:eee:ecmode:v:56:y:2016:i:c:p:133-147.

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2016Accounting for missing values in score-driven time-varying parameter models. (2016). Lucas, André ; Schaumburg, Julia ; Opschoor, Anne . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:96-98.

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2016Spillover dynamics for systemic risk measurement using spatial financial time series models. (2016). Lucas, André ; Koopman, Siem Jan ; Blasques, Francisco ; Schaumburg, Julia . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:2:p:211-223.

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2016Accuracy of mortgage portfolio risk forecasts during financial crises. (2016). Scheule, Harald ; Lee, Yongwoong ; Rosch, Daniel . In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:440-456.

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2016It’s not now or never: Implications of investment timing and risk aversion on climate adaptation to extreme events. (2016). Trueck, Stefan ; Truong, Chi ; Truck, Stefan . In: European Journal of Operational Research. RePEc:eee:ejores:v:253:y:2016:i:3:p:856-868.

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2016The role of country-specific fundamentals in sovereign CDS spreads: Eastern European experiences. (2016). Monostori, Zoltán ; Kocsis, Zalan. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:140-168.

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2016The European sovereign debt crisis: What have we learned?. (2016). Stefanova, Denitsa ; Kräussl, Roman ; Kraussl, Roman ; Lehnert, Thorsten . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:363-373.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016International stock market cointegration under the risk-neutral measure. (2016). Power, Gabriel ; Gagnon, Marie-Helene ; Toupin, Dominique . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:243-255.

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2016A comprehensive approach to measuring the relation between systemic risk exposure and sovereign debt. (2016). Sedunov, John ; Pagano, Michael S. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:62-78.

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2017An analysis of the literature on systemic financial risk: A survey. (2017). Silva, Walmir ; Sobreiro, Vinicius Amorim ; Kimura, Herbert . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:91-114.

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2017Credit risk interconnectedness: What does the market really know?. (2017). Abbassi, Puriya ; Podlich, Natalia ; Hans, Christina ; Brownlees, Christian . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:1-12.

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2017The bank-lending channel and monetary policy during pre- and post-2007 crisis. (2017). Kouretas, Georgios ; Salachas, Evangelos N ; Laopodis, Nikiforos T. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:47:y:2017:i:c:p:176-187.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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2016Score-driven exponentially weighted moving averages and Value-at-Risk forecasting. (2016). Lucas, André ; Zhang, Xin . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:293-302.

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2016In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models. (2016). Lucas, André ; Łasak, Katarzyna ; Koopman, Siem Jan ; Blasques, Francisco. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:875-887.

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2016Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Dubecq, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

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2017Network, market, and book-based systemic risk rankings. (2017). Lucas, André ; Seeger, Norman J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:84-90.

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2016Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?. (2016). Pelizzon, Loriana ; Uno, Jun ; Tomio, Davide ; Subrahmanyam, Marti G. In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:1:p:86-115.

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2016Price effects of sovereign debt auctions in the euro-zone: The role of the crisis. (2016). Beetsma, Roel ; Widijanto, Daniel ; de Jong, Frank ; Giuliodori, Massimo . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:25:y:2016:i:c:p:30-53.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2016The effectiveness of the ECBs asset purchase programs of 2009 to 2012. (2016). Tavlas, George ; Gibson, Heather ; Hall, Stephen G. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pa:p:45-57.

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2016Spillover of the ECBs monetary policy outside the euro area: How different is conventional from unconventional policy?. (2016). Vašíček, Bořek ; Claeys, Peter ; Babecká-Kucharčuková, Oxana ; Kucharukova, Oxana Babecka ; Vaiek, Boek . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:38:y:2016:i:2:p:199-225.

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2017Contained crisis and socialized risk. (2017). Nakabayashi, Masaki. In: Research in International Business and Finance. RePEc:eee:riibaf:v:40:y:2017:i:c:p:231-241.

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2016A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Greene, William ; Gibson, Heather ; Hall, Stephen G ; Mehta, Jatinder S ; Chang, I-Lok ; I-Lok Chang, ; I-Lok Chang, . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:2:p:19-:d:66559.

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2016ECB Unconventional Monetary Policy and the Italian Economy during the Sovereign Debt Crisis. (2016). Gaiotti, Eugenio ; Casiraghi, Marco ; Rodano, Lisa . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2016:q:2:a:6.

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2016From bond yield to macroeconomic instability: The effect of negative interest rates. (2016). Tedeschi, Gabriele ; Recchioni, Maria Cristina . In: Working Papers. RePEc:jau:wpaper:2016/06.

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2016Macroeconomic effects of financial stress and the role of monetary policy: a VAR analysis for the euro area. (2016). Kremer, Manfred. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:1:d:10.1007_s10368-015-0325-z.

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2016A Method for Measuring Treatment Effects on the Treated without Randomization. (2016). Tavlas, George ; Hall, Stephen ; Greene, William ; Gibson, Heather ; Mehta, J S ; Chang, I. In: Discussion Papers in Economics. RePEc:lec:leecon:16/02.

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2017Quantitative Easing in the Euro Area. (2017). Urbschat, Florian ; Watzka, Sebastian . In: Discussion Papers in Economics. RePEc:lmu:muenec:37365.

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2016Access to Credit and Unconventional Monetary policy in the Eurozone after the Financial Crisis. (2016). . In: MENDELU Working Papers in Business and Economics. RePEc:men:wpaper:68_2016.

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2016Necessity as the Mother of Invention: Monetary Policy after the Crisis. (2016). Jansen, David-Jan ; Ehrmann, Michael ; de Haan, Jakob ; Blinder, Alan. In: NBER Working Papers. RePEc:nbr:nberwo:22735.

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2016CoRisk: measuring systemic risk through default probability contagion. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0116.

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2016Bail in or Bail out? The Atlante example from a systemic risk perspective. (2016). Parisi, Laura ; Giudici, Paolo. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0124.

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2017The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital. (2017). Liang, Kun ; Jia, Zelin ; Ning, Weihong ; Lin, Zhangxi ; Jiang, Cuiqing . In: Electronic Commerce Research. RePEc:spr:elcore:v:17:y:2017:i:1:d:10.1007_s10660-016-9231-x.

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2017SRISK: a conditional capital shortfall measure of systemic risk. (2017). Brownlees, Christian ; Engle, Robert . In: ESRB Working Paper Series. RePEc:srk:srkwps:201737.

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2017Cyclicality in Losses on Bank Loans. (2017). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

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2016Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. (2016). Lucas, André ; Siegmann, Arjen H ; Lange, Rutger-Jan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160064.

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2016Accounting for Missing Values in Score-Driven Time-Varying Parameter Models. (2016). Lucas, André ; Schaumburg, Julia ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160067.

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2016Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns. (2016). Lucas, André ; Opschoor, Anne . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160069.

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2016Network, Market, and Book-Based Systemic Risk Rankings. (2016). Lucas, André. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074.

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2016Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: CIRJE F-Series. RePEc:tky:fseres:2016cf1024.

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2017Scarcity effects of QE: A transaction-level analysis in the Bund market. (2017). Schlepper, Kathi ; Schrimpf, Andreas ; Hofer, Heiko ; Riordan, Ryan . In: Discussion Papers. RePEc:zbw:bubdps:062017.

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2017The European sovereign debt crisis: What have we learned?. (2017). Stefanova, Denitsa ; Kräussl, Roman ; Lehnert, Thorsten ; Kraussl, Roman . In: CFS Working Paper Series. RePEc:zbw:cfswop:567.

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2016Rules versus Human Beings, and the Mandate of the ECB. (2016). Fratzscher, Marcel . In: EconStor Open Access Articles. RePEc:zbw:espost:157540.

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2016Soft budget constraints, European Central Banking and the financial crisis. (2016). Jäger, Jannik ; Grigoriadis, Theocharis ; Jager, Jannik . In: Discussion Papers. RePEc:zbw:fubsbe:20167.

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Works by Bernd Schwaab:


YearTitleTypeCited
2011New methodologies for systemic risk measurement In: Research Bulletin.
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article0
2012Conditional probabilities and contagion measures for euro area sovereign default risk In: Research Bulletin.
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article24
2012Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk.(2012) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 24
paper
2011Systemic risk diagnostics: coincident indicators and early warning signals In: Working Paper Series.
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paper20
2012Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008 In: Working Paper Series.
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paper14
2012Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008.(2012) In: Journal of Business & Economic Statistics.
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article
2013Assessing asset purchases within the ECB’s securities markets programme In: Working Paper Series.
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paper54
2013Conditional and joint credit risk In: Working Paper Series.
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paper2
2013Observation driven mixed-measurement dynamic factor models with an application to credit risk In: Working Paper Series.
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paper22
2014Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2014) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 22
article
2011Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk.(2011) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 22
paper
2015Modeling financial sector joint tail risk in the euro area In: Working Paper Series.
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paper2
2015Modeling financial sector joint tail risk in the euro area.(2015) In: Working Paper Series.
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This paper has another version. Agregated cites: 2
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2016The information in systemic risk rankings In: Working Paper Series.
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paper5
2016The information in systemic risk rankings.(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 5
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2015The Information in Systemic Risk Rankings.(2015) In: Tinbergen Institute Discussion Papers.
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2016Global credit risk: world country and industry factors In: Working Paper Series.
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2015Global Credit Risk: World, Country and Industry Factors.(2015) In: Tinbergen Institute Discussion Papers.
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2011Modeling frailty-correlated defaults using many macroeconomic covariates In: Journal of Econometrics.
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article21
2014Nowcasting and forecasting global financial sector stress and credit market dislocation In: International Journal of Forecasting.
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article2
2016Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme In: Journal of Financial Economics.
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article21
2013Conditional euro area sovereign default risk In: Working Paper Series.
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paper41
2014Conditional Euro Area Sovereign Default Risk.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 41
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2013Discussion of Bank Funding and Financial Stability In: RBA Annual Conference Volume.
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chapter0
2008Forecasting Cross-Sections of Frailty-Correlated Default In: Tinbergen Institute Discussion Papers.
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2010Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective In: Tinbergen Institute Discussion Papers.
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2010Systemic Risk Diagnostics In: Tinbergen Institute Discussion Papers.
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2014Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics In: Tinbergen Institute Discussion Papers.
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2014A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area In: Tinbergen Institute Discussion Papers.
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2016Bank Business Models at Zero Interest Rates In: Tinbergen Institute Discussion Papers.
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