Central Bank Research Hub - JEL classification C0: Mathematical and Quantitative Methods

Title Author(s)

Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

European Central Bank Working papers [View] (Paper: 1002, 16.02.2009)

JEL: C02, C19, C52, C61, E32

Sparse and stable Markowitz portfolios

European Central Bank Working papers [View] (Paper: 0936, 13.10.2008)

JEL: C00, G11

An Analytical Approach to Merton´s Rational Option Pricing Theory.

Bank of Mexico Working Papers [View] (Paper: 2008-03, 03.04.2008)

JEL: C02, G10, G11

Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective

Bank of Canada Working papers [View] (Paper: 2007-49, 02.10.2007)

JEL: C0, C6, E4, G1

Real-Time Measurement of Business Conditions

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0901, 01.09.2007)

JEL: C01, C22, E32, E37

Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis

Bank of Canada Working papers [View] (Paper: 2007-13, 28.02.2007)

JEL: C0, C14, C15, C51, C52, C61, C65, E6, G1, H63

Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective

Bank of Canada Working papers [View] (Paper: 2006-48, 21.12.2006)

JEL: C0, C6, E4, G1

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