Central Bank Research Hub - JEL classification C15: Statistical Simulation Methods: General

Title Author(s)

Why risk is so hard to measure

Netherlands Bank DNB Working Papers [View] (Paper: 494, 06.01.2016)

JEL: C10, C15, G18

A note on implementing the Durbin and Koopman simulation smoother

European Central Bank Working papers [View] (Paper: 1867, 16.11.2015)

JEL: C15, C3

Many a little makes a mickle: macro portfolio stress test for small and medium-sized German banks

Deutsche Bundesbank Discussion Papers [View] (Paper: 23/2015, 29.07.2015)

JEL: C13, C15, G21, G33

Calculating trading book capital: is risk separation appropriate?

Deutsche Bundesbank Discussion Papers [View] (Paper: 19/2015, 21.07.2015)

JEL: C15, G21, G32

Statistical matching and uncertainty analysis in combining household income and expenditure data

Bank of Italy Working Papers [View] (Paper: 1018, 15.07.2015)

JEL: C14, C15

Covariate-augmented unit root tests with mixed-frequency data

Bank of Portugal Working papers [View] (Paper: 201507, 17.06.2015)

JEL: C12, C15, C22

Centrality-Based Capital Allocations

IJCB International Journal of Central Banking [View] (Paper: 15q3a8, 01.06.2015)

JEL: C15, C81, G21, G28

Collateral damage? Micro-simulation of transaction cost shocks on the value of central bank collateral

European Central Bank Working papers [View] (Paper: 1793, 22.05.2015)

JEL: C15, E59, G12

Bayesian Estimation of Time-Changed Default Intensity Models

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2015-002, 13.04.2015)

JEL: C11, C15, C58, G12, G17

Stress Testing the Australian Household Sector Using the HILDA Survey

Reserve Bank of Australia Research Discussion Papers [View] (Paper: RDP2015-01, 09.03.2015)

JEL: C15, D31

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