The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default,
Alan Silva, Antônio Silva, Jaqueline Marins, Myrian Neves and Giovani Brito,
from Central Bank of Brazil, Research Department
(2009)
Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks,
Marcos Souto, Benjamin Tabak and Francisco Vazquez,
from Central Bank of Brazil, Research Department
(2009)
Pricing Asian Interest Rate Options with a Three-Factor HJM Model,
Claudio Barbedo, José Valentim Vicente and Octavio Bessada Lion,
from Central Bank of Brazil, Research Department
(2009)
An Alternative Formula to Price American Options,
Rocio Elizondo, Padilla Pablo and Bladt Mogens,
from Banco de México
(2009)
The effects of mutual guarantee consortia on the quality of bank lending,
Francesco Columba, Leonardo Gambacorta and Paolo Emilio Mistrulli,
from University Library of Munich, Germany
(2009)
Keywords: bank credit, financial intermediaries, small and medium enterprises, bad debt.
Basic Principles of Hedge Accounting,
Cristina Bunea-Bontas,
from University Library of Munich, Germany
(2009)
Keywords: hedge derivatives, fair value, hedge accounting, hedge effectiveness, risk management
Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books: a multivariate nonparametric approach,
Sandra Gaisser, Christoph Memmel, Rafael Schmidt and Carsten Wehn,
from Deutsche Bundesbank
(2009)
Keywords: Multivariate dependence modelling, multivariate Spearman's rho, time-varying copula, asymptotic test theory, hierarchical testing, control chart theory
Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market,
Manja Völz and Michael Wedow,
from Deutsche Bundesbank
(2009)
Keywords: Market Discipline, Too Big To Fail, Too Big to Rescue CDS Spreads
Shocks at large banks and banking sector distress: the Banking Granular Residual,
Sven Blank, Claudia Buch and Katja Neugebauer,
from Deutsche Bundesbank
(2009)
Keywords: Banking sector distress, size effects, shock propagation, Granular Residual
Stress testing German banks in a downturn in the automobile industry,
Klaus Düllmann and Martin Erdelmeier,
from Deutsche Bundesbank
(2009)
Keywords: Asset correlation, portfolio credit risk, stress test, sectoral credit concentration
Dominating estimators for the global minimum variance portfolio,
Gabriel Frahm and Christoph Memmel,
from Deutsche Bundesbank
(2009)
Keywords: Covariance matrix estimation, global minimum variance portfolio, James-Stein estimation, naive diversification, shrinkage estimator
The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges,
Michael McAleer,
from CIRJE, Faculty of Economics, University of Tokyo
(2009)
Asymptotic Expansion Approaches in Finance: Applications to Currency Options,
Akihiko Takahashi and Kohta Takehara,
from CIRJE, Faculty of Economics, University of Tokyo
(2009)