Nikola Tarashev : Citation Profile


Are you Nikola Tarashev?

Bank for International Settlements (BIS)

11

H index

11

i10 index

415

Citations

RESEARCH PRODUCTION:

14

Articles

12

Papers

1

Chapters

RESEARCH ACTIVITY:

   9 years (2003 - 2012). See details.
   Cites by year: 46
   Journals where Nikola Tarashev has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 7 (1.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pta487
   Updated: 2017-11-18    RAS profile: 2013-05-16    
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Relations with other researchers


Works with:

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

Is cited by:

BORIO, Claudio (18)

Zhou, Hao (10)

Drehmann, Mathias (10)

Buch, Claudia (8)

Aldasoro, Iñaki (8)

Nadal De Simone, Francisco (7)

McGuire, Patrick (7)

Danielsson, Jon (7)

Zhou, Chen (7)

Jara, Alejandro (6)

Cerutti, Eugenio (5)

Cites to:

Bacchetta, Philippe (6)

van Wincoop, Eric (6)

Gordy, Michael (5)

Engel, Charles (5)

Rogoff, Kenneth (5)

Obstfeld, Maurice (4)

merton, robert (4)

Lehar, Alfred (4)

Acharya, Viral (3)

Martinez Peria, Maria (3)

Pedersen, Lasse (3)

Main data


Where Nikola Tarashev has published?


Journals with more than one article published# docs
BIS Quarterly Review10
International Journal of Central Banking2

Working Papers Series with more than one paper published# docs
BIS Working Papers / Bank for International Settlements11

Recent works citing Nikola Tarashev (2017 and 2016)


YearTitle of citing document
2016Contagion in Financial Networks. (2016). Glasserman, Paul ; Young, Peyton H. In: Journal of Economic Literature. RePEc:aea:jeclit:v:54:y:2016:i:3:p:779-831.

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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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2016What do central counterparties default funds really cover? A network-based stress test answer. (2016). Sabatini, Silvia ; Poce, Giulia ; Zaccaria, Andrea ; Gabrielli, Andrea ; Cimini, Giulio ; Rizzo, Mariangela ; Polito, Marco ; Baldacci, Giuditta . In: Papers. RePEc:arx:papers:1611.03782.

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2017Asset correlation estimation for inhomogeneous exposure pools. (2017). Wunderer, Christoph . In: Papers. RePEc:arx:papers:1701.02028.

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2017Reverse stress testing interbank networks. (2017). Grigat, Daniel ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.08744.

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2017News-sentiment networks as a risk indicator. (2017). Forss, Thomas ; Sarlin, Peter . In: Papers. RePEc:arx:papers:1706.05812.

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2016A Microfounded Design of Interconnectedness-Based Macroprudential Policy. (2016). Fique, Jose . In: Staff Working Papers. RePEc:bca:bocawp:16-6.

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2017Systemic Risk in Financial Systems: a feedback approach. (2017). Tabak, Benjamin ; da Silva, Michel Alexandre . In: Working Papers Series. RePEc:bcb:wpaper:461.

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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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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2016Spillovers of the ECBs non-standard monetary policy into CESEE economies. (2016). Ciarlone, Alessio ; Colabella, Andrea . In: Ensayos sobre Política Económica. RePEc:bdr:ensayo:v:34:y:2016:i:81:p:175-190.

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2016Support for the SME Supporting Factor - Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; DIETSCH, Michel ; Ott, C ; Fraisse, H ; Dullmann, K. In: Débats économiques et financiers. RePEc:bfr:decfin:23.

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2017Foreign banks and credit conditions in EMEs. (2017). Ehlers, Torsten ; McGuire, Patrick . In: BIS Papers chapters. RePEc:bis:bisbpc:91-10.

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2016Bank standalone credit ratings. (2016). Ongena, Steven ; King, Michael ; Tarashev, Nikola . In: BIS Working Papers. RePEc:bis:biswps:542.

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2016Monetary policy spillovers and currency networks in cross-border bank lending. (2016). Takats, Elod ; Avdjiev, Stefan. In: BIS Working Papers. RePEc:bis:biswps:549.

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2016Globalisation and financial stability risks: is the residency-based approach of the national accounts old-fashioned?. (2016). Tissot, Bruno . In: BIS Working Papers. RePEc:bis:biswps:587.

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2016Bank networks: contagion, systemic risk and prudential policy. (2016). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: BIS Working Papers. RePEc:bis:biswps:597.

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2017Financial deglobalisation in banking?. (2017). McGuire, Patrick ; McCauley, Robert ; Bénétrix, Agustín ; von Peter, Goetz . In: BIS Working Papers. RePEc:bis:biswps:650.

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2016Sincronía internacional de los precios de la vivienda. (2016). Jara, Alejandro ; Romero, Nestor . In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:19:y:2016:i:1:p:76-91.

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2016Instituciones de importancia sistémica: identificación y desafíos regulatorios. (2016). Jara, Alejandro ; Cifuentes, Rodrigo . In: Notas de Investigación Journal Economía Chilena (The Chilean Economy). RePEc:chb:bcchni:v:19:y:2016:i:1:p:92-106.

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2017Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis. (2017). Schmidt, Lawrence ; Gallagher, Emily ; Wermers, Russ ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11895.

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2017Supply- and Demand-side Factors in Global Banking. (2017). McGuire, Patrick ; Weinstein, David E ; Amiti, Mary . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12091.

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2016Financial globalization and foreign direct investment. (2016). Poelhekke, Steven. In: DNB Working Papers. RePEc:dnb:dnbwpp:527.

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2017Monitoring vulnerability and impact diffusion in financial networks. (2017). Tabak, Benjamin ; Stancato, Sergio Rubens ; Silva, Thiago Christiano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:109-135.

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2017Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette . In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59.

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2017Expected default based score for identifying systemically important banks. (2017). Yao, Yanzhen ; Wei, LU ; Zhu, Xiaoqian ; Li, Jianping. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:589-600.

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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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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017Assessing contagion risk from energy and non-energy commodity markets. (2017). Algieri, Bernardina ; Leccadito, Arturo . In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:312-322.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2017Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks. (2017). Lee, Eun-Joo . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:1-22.

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2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

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2016What is the systemic risk exposure of financial institutions?. (2016). Sedunov, John. In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:71-87.

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2016Assessing the credit risk of money market funds during the eurozone crisis. (2016). Gallagher, Emily ; Collins, Sean . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:150-165.

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2016The credit quality channel: Modeling contagion in the interbank market. (2016). Fink, Kilian ; Wong, Lui-Hsian ; Meller, Barbara ; Kruger, Ulrich . In: Journal of Financial Stability. RePEc:eee:finsta:v:25:y:2016:i:c:p:83-97.

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2016Calibrating limits for large interbank exposures from a system-wide perspective. (2016). Solorzano-Margain, Juan Pablo ; Batiz-Zuk, Enrique ; Lopez-Gallo, Fabrizio ; Martinez-Jaramillo, Serafin . In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:198-216.

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2017Comparative assessment of macroprudential policies. (2017). SHIM, ILHYOCK ; Shin, Hyun Song ; Bruno, Valentina . In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:183-202.

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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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2017Macroprudential policy: A review. (2017). Lehar, Alfred ; Kahou, Mahdi Ebrahimi . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:92-105.

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2017Financial frictions and policy cooperation: A case with monopolistic banking and staggered loan contracts. (2017). Teranishi, Yuki ; Fujiwara, Ippei. In: Journal of International Economics. RePEc:eee:inecon:v:104:y:2017:i:c:p:19-43.

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2016Is the European banking system robust? An evaluation through the lens of the ECB׳s Comprehensive Assessment. (2016). Dehmej, Salim ; Arnould, Guillaume. In: International Economics. RePEc:eee:inteco:v:147:y:2016:i:c:p:126-144.

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2017Can monetary policy cause the uncovered interest parity puzzle?. (2017). Park, Cheolbeom. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:34-44.

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2016The systemic risk of European banks during the financial and sovereign debt crises. (2016). Correa, Ricardo ; Black, Lamont ; Zhou, Hao ; Huang, Xin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:63:y:2016:i:c:p:107-125.

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2016Bank size, capital, and systemic risk: Some international evidence. (2016). Tong, Hui ; Ratnovski, Lev ; Laeven, Luc. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:69:y:2016:i:s1:p:s25-s34.

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2016Taxing banks: An evaluation of the German bank levy. (2016). Tonzer, Lena ; Buch, Claudia ; Hilberg, Bjorn . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:c:p:52-66.

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2016Bank integration and co-movements across housing markets. (2016). Milcheva, Stanimira ; Zhu, Bing . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s148-s171.

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

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2017Bank networks: Contagion, systemic risk and prudential policy. (2017). Faia, Ester ; Gatti, Domenico Delli ; Aldasoro, Iaki . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:142:y:2017:i:c:p:164-188.

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2016Incomplete Information in Macroeconomics. (2016). , ; Lian, C. In: Handbook of Macroeconomics. RePEc:eee:macchp:v2-1065.

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2016Contagion in financial networks. (2016). Glasserman, Paul ; Young, Peyton H. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68681.

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2017Supply- and demand-side factors in global banking. (2017). Weinstein, David ; McGuire, Patrick ; Amiti, Mary. In: Staff Reports. RePEc:fip:fednsr:818.

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2016Contagion in financial networks: a threat index. (2016). Demange, Gabrielle. In: PSE Working Papers. RePEc:hal:psewpa:halshs-00662513.

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2016Contagion in financial networks: a threat index. (2016). . In: Working Papers. RePEc:hal:wpaper:halshs-00662513.

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2016United Kingdom; Financial Sector Assessment Program-Systemic Risk and Interconnectedness Analysis-Technical Note. (2016). International Monetary Fund. Monetary, ; Capital Markets Department, ; International Monetary Fund. Monetary, . In: IMF Staff Country Reports. RePEc:imf:imfscr:16/164.

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2017Bank Solvency and Funding Cost; New Data and New Results. (2017). Schmitz, Stefan ; Valderrama, Laura ; Sigmund, Michael . In: IMF Working Papers. RePEc:imf:imfwpa:17/116.

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2017Copula-based factor model for credit risk analysis. (2017). Lu, Meng-Jou ; Hardle, Wolfgang Karl ; Chen, Cathy Yi-Hsuan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:49:y:2017:i:4:d:10.1007_s11156-016-0613-x.

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2017An analysis of banks’ weaknesses in the light of stress tests. (2017). Toader, Oana ; Bellando, Raphaëlle. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2479.

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2017Supply- and Demand-side Factors in Global Banking. (2017). Weinstein, David ; McGuire, Patrick ; Amiti, Mary. In: NBER Working Papers. RePEc:nbr:nberwo:23536.

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2017Measuring Systemic Risk. (2017). Acharya, Viral V ; Richardson, Matthew ; Philippon, Thomas ; Pedersen, Lasse H. In: Review of Financial Studies. RePEc:oup:rfinst:v:30:y:2017:i:1:p:2-47..

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2016The multivariate nature of systemic risk: direct and common exposures. (2016). Giudici, Paolo ; Spelta, Alessandro ; Sarlin, Peter . In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0118.

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2016Defining the factors of Fitch rankings in the European banking sector. (2016). Drimbetas, Evangelos ; Lazarides, Themistokles ; Drimpetas, Evaggelos . In: Eurasian Economic Review. RePEc:spr:eurase:v:6:y:2016:i:2:d:10.1007_s40822-016-0046-9.

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2016Systemic risk measures on general measurable spaces. (2016). Kromer, E ; Zilch, K ; Overbeck, L. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:84:y:2016:i:2:d:10.1007_s00186-016-0545-1.

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2017Financial deglobalisation in banking?. (2017). McGuire, Patrick ; McCauley, Robert ; Bénétrix, Agustín ; von Peter, Goetz ; Benetrix, Agustin S. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep1717.

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2016Network, Market, and Book-Based Systemic Risk Rankings. (2016). van de Leur, Michiel ; Lucas, Andre. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160074.

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2016Assessing Systemic Importance With a Fuzzy Logic Inference System. (2016). Murcia, Andrés ; León, Carlos ; Machado, Clara ; Leon, Carlos ; Sarlin, Peter . In: Intelligent Systems in Accounting, Finance and Management. RePEc:wly:isacfm:v:23:y:2016:i:1-2:p:121-153.

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2016Support for the SME supporting factor: Multi-country empirical evidence on systematic risk factor for SME loans. (2016). Koziol, Philipp ; fraisse, henri ; DIETSCH, Michel ; Ott, Christine ; Dullmann, Klaus . In: Discussion Papers. RePEc:zbw:bubdps:452016.

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Works by Nikola Tarashev:


YearTitleTypeCited
2007Global monitoring with the BIS international banking statistics In: CGFS Papers chapters.
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chapter14
2008Global monitoring with the BIS international banking statistics.(2008) In: BIS Working Papers.
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This paper has another version. Agregated cites: 14
paper
2005Structural models of default: lessons from firm-level data In: BIS Quarterly Review.
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article3
2006Risk premia across asset markets: information from option prices In: BIS Quarterly Review.
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article1
2006Tracking international bank flows In: BIS Quarterly Review.
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article17
2007Measuring portfolio credit risk: modelling versus calibration errors In: BIS Quarterly Review.
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article0
2007International banking with the euro In: BIS Quarterly Review.
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article3
2008Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures In: BIS Quarterly Review.
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article19
2008Bank health and lending to emerging markets In: BIS Quarterly Review.
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article35
2009The systemic importance of financial institutions In: BIS Quarterly Review.
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article51
2011Systemic importance: some simple indicators In: BIS Quarterly Review.
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article43
2011Rating methodologies for banks In: BIS Quarterly Review.
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article14
2003Currency Crises and the Informational Role of Interest Rates In: BIS Working Papers.
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paper9
2004Are speculative attacks triggered by sunspots? A new test In: BIS Working Papers.
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paper0
2005An empirical evaluation of structural credit risk models In: BIS Working Papers.
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paper8
2008An Empirical Evaluation of Structural Credit-Risk Models.(2008) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 8
article
2006The pricing of portfolio credit risk In: BIS Working Papers.
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paper5
2007Modelling and calibration errors in measures of portfolio credit risk In: BIS Working Papers.
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paper7
2008Speculative attacks, Private Signals and Intertemporal Trade-offs In: BIS Working Papers.
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paper0
2009Measuring portfolio credit risk correctly: why parameter uncertainty matters In: BIS Working Papers.
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paper6
2010Measuring portfolio credit risk correctly: Why parameter uncertainty matters.(2010) In: Journal of Banking & Finance.
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article
2010Attributing systemic risk to individual institutions In: BIS Working Papers.
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paper73
2011Measuring the systemic importance of interconnected banks In: BIS Working Papers.
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paper77
2012Systematic monetary policy and the forward premium puzzle In: BIS Working Papers.
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paper1
2008Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model In: International Journal of Central Banking.
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article14
2007Speculative Attacks and the Information Role of the Interest Rate In: Journal of the European Economic Association.
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article11
2008The pricing of correlated default risk: evidence from the credit derivatives market In: Discussion Paper Series 2: Banking and Financial Studies.
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paper4

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