Nikola A. Tarashev - Central Bank Research Hub

Papers by year: All | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

	Title	Other author(s)
Abstract Full text	Rating methodologies for banks Bank for International Settlements Quarterly Review [View] (Paper: 1106f, 06.06.2011)	Frank Packer
Abstract Full text	Systemic importance: some simple indicators Bank for International Settlements Quarterly Review [View] (Paper: 1103e, 14.03.2011)	Mathias Drehmann
Abstract	Measuring the systemic importance of interconnected banks Bank for International Settlements Working papers [View] (Paper: 342, 10.03.2011)	Mathias Drehmann
Abstract Full text	Attributing systemic risk to individual institutions, May 2010 Bank for International Settlements Working papers [View] (Paper: 308, 17.05.2010) JEL: C15, C71, G20, G28	Kostas Tsatsaronis Claudio Borio
Abstract Full text	The systemic importance of financial institutions Bank for International Settlements Quarterly Review [View] (Paper: 0909h, 14.09.2009)	Kostas Tsatsaronis Claudio Borio
Abstract Full text	Measuring portfolio credit risk correctly: why parameter uncertainty matters Bank for International Settlements Working papers [View] (Paper: 280, 16.04.2009) JEL: C11, G20, G32
Abstract Full text	Bank health and lending to emerging markets Bank for International Settlements Quarterly Review [View] (Paper: 0812g, 08.12.2008)	Patrick McGuire
Abstract Full text	Speculative attacks, Private Signals and Intertemporal Trade-offs Bank for International Settlements Working papers [View] (Paper: 254, 29.06.2008)
Abstract Full text	Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model IJCB International Journal of Central Banking [View] (Paper: 08q2a4, 02.06.2008) JEL: C15, G13, G21, G28	Haibin Zhu
Full text	The pricing of correlated default risk: evidence from the credit derivatives market Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2008/09, 30.05.2008) JEL: C15, G12, G13	Haibin Zhu
Abstract Full text	An Empirical Evaluation of Structural Credit-Risk Models IJCB International Journal of Central Banking [View] (Paper: 08q1a1, 06.03.2008) JEL: C13, E44, G28, G33
Abstract	Credit fundamentals, ratings and value-at-risk: CDOs versus corporate exposures Bank for International Settlements Quarterly Review [View] (Paper: 0803i, 03.03.2008) JEL: G24, G32	Ingo Fender Haibin Zhu
Abstract Full text	Global monitoring with the BIS international banking statistics Bank for International Settlements Working papers [View] (Paper: 244, 01.03.2008)	Patrick McGuire
Abstract Full text	International banking with the euro Bank for International Settlements Quarterly Review [View] (Paper: 0712f, 10.12.2007)	Patrick McGuire
Abstract Full text	Modelling and calibration errors in measures of portfolio credit risk Bank for International Settlements Working papers [View] (Paper: 230, 28.06.2007) JEL: C15, G13, G21, G28	Haibin Zhu
Abstract	Tracking international bank flows Bank for International Settlements Quarterly Review [View] (Paper: 0612e, 11.12.2006) JEL: F34, G15, G21	Patrick McGuire
Abstract Full text	The pricing of portfolio credit risk Bank for International Settlements Working papers [View] (Paper: 214, 15.09.2006) JEL: C15, G13	Haibin Zhu
Abstract Full text	Risk premia across asset markets: information from option prices Bank for International Settlements Quarterly Review [View] (Paper: 0603h, 01.04.2006) JEL: G12, G13, G14	Kostas Tsatsaronis
Abstract Full text	Structural models of default: lessons from firm-level data Bank for International Settlements Quarterly Review [View] (Paper: 0509h, 05.09.2005) JEL: C52, G10, G30
Abstract Full text	An Empirical Evaluation of Structural Credit Risk Models Bank for International Settlements Working papers [View] (Paper: 179, 26.07.2005) JEL: C52, G1, G3
Abstract Full text	Are speculative attacks triggered by sunspots? A new test Bank for International Settlements Working papers [View] (Paper: 166, 12.01.2005) JEL: C22, D84, F31
Full text	Investors’ attitude towards risk: what can we learn from options? Bank for International Settlements Quarterly Review [View] (Paper: 0306f, 01.01.2004)	Kostas Tsatsaronis Dimitrios Karampatos
Abstract Full text	Currency crises and the informational role of interest rates Bank for International Settlements Working papers [View] (Paper: 135, 17.09.2003)

Papers by year: All | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003