Central Bank Research Hub - JEL classification C02: Mathematical Methods

Title Author(s)

The time dimension of the links between loss given default and the macroeconomy

European Central Bank Working papers [View] (Paper: 2037, 15.03.2017)

JEL: C02, G13, G33

Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective

Bank of Italy Working Papers [View] (Paper: 957, 08.07.2014)

JEL: C02, C46, G23

Real Term Structure and Inflation Compensation in the Euro Area

IJCB International Journal of Central Banking [View] (Paper: 14q1a1, 28.02.2014)

JEL: C02, G1, G12

A dynamic default dependence model

Bank of Italy Working Papers [View] (Paper: 892, 14.12.2012)

JEL: B26, C02, C53

Sharing a risky cake

Reserve Bank of New Zealand Discussion Papers [View] (Paper: DP2010/06, 01.10.2010)

JEL: C02, C71, C78

The Merton Approach to Estimating Loss Given Default: Application to the Czech Republic

Czech National Bank Working papers [View] (Paper: 2009/13, 19.08.2010)

JEL: C02, G13, G33

Dynamics in Systematic Liquidity

St Louis Fed Working Papers [View] (Paper: 2009-025, 27.05.2009)

JEL: C02, G10

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

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

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