Nikola A. Tarashev - Central Bank Research Hub

Papers by year: All | 2016 | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

Title Other author(s)

When pegging ties your hands

Bank for International Settlements Working papers [View] (Paper: 547, 07.03.2016)

JEL: D82, D84, F31

Bank standalone credit ratings

Bank for International Settlements Working papers [View] (Paper: 542, 01.02.2016)

JEL: G14, G15, G21

Systematic monetary policy and the forward premium puzzle

Bank for International Settlements Working papers [View] (Paper: 396, 22.07.2013)

Looking at the tail: price-based measures of systemic importance

Bank for International Settlements Quarterly Review [View] (Paper: 1306g, 03.06.2013)

Rating methodologies for banks

Bank for International Settlements Quarterly Review [View] (Paper: 1106f, 06.06.2011)

Systemic importance: some simple indicators

Bank for International Settlements Quarterly Review [View] (Paper: 1103e, 14.03.2011)

Measuring the systemic importance of interconnected banks

Bank for International Settlements Working papers [View] (Paper: 342, 10.03.2011)

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

The systemic importance of financial institutions

Bank for International Settlements Quarterly Review [View] (Paper: 0909h, 14.09.2009)

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

Bank health and lending to emerging markets

Bank for International Settlements Quarterly Review [View] (Paper: 0812g, 08.12.2008)

Speculative attacks, Private Signals and Intertemporal Trade-offs

Bank for International Settlements Working papers [View] (Paper: 254, 29.06.2008)

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

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

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

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

Global monitoring with the BIS international banking statistics

Bank for International Settlements Working papers [View] (Paper: 244, 01.03.2008)

International banking with the euro

Bank for International Settlements Quarterly Review [View] (Paper: 0712f, 10.12.2007)

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

Tracking international bank flows

Bank for International Settlements Quarterly Review [View] (Paper: 0612e, 11.12.2006)

JEL: F34, G15, G21

The pricing of portfolio credit risk

Bank for International Settlements Working papers [View] (Paper: 214, 15.09.2006)

JEL: C15, G13

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

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

An Empirical Evaluation of Structural Credit Risk Models

Bank for International Settlements Working papers [View] (Paper: 179, 26.07.2005)

JEL: C52, G1, G3

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

Investors┬┐ attitude towards risk: what can we learn from options?

Bank for International Settlements Quarterly Review [View] (Paper: 0306f, 01.01.2004)

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 | 2016 | 2013 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003