Natalia Puzanova - Central Bank Research Hub

Papers by year: All | 2012 | 2011

Title Other author(s)

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/16, 07.02.2012)

A hierarchical model of tail dependent asset returns for assessing portfolio credit risk

Deutsche Bundesbank Discussion Papers [View] (Paper: 16/2011, 30.12.2011)

JEL: C46, C63, G12, G21

A hierarchical Archimedean copula for portfolio credit risk modelling

Deutsche Bundesbank Discussion Papers [View] (Paper: 14/2011, 07.11.2011)

JEL: C46, C63, G21

A hierarchical Archimedean copula for portfolio credit risk modelling

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/14, 07.11.2011)

Systemic risk contributions: a credit portfolio approach

Deutsche Bundesbank Discussion Papers [View] (Paper: 08/2011, 20.05.2011)

JEL: C15, C63, E58, G01, G21

Systemic risk contributions: a credit portfolio approach

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2011/08, 20.05.2011)

Papers by year: All | 2012 | 2011