Central Bank Research Hub - JEL classification C15: Simulation Methods

Title Author(s)

How to find plausible, severe, and useful stress scenarios

Austrian National Bank Working Papers [View] (Paper: WP150, 05.03.2009)

JEL: C15, G20, G28, G32

Estimating the Parameters of a Small Open Economy DSGE Model: Identifiability and Inferential Validity

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 0955, 20.11.2008)

JEL: C11, C15, F41

Non-Linearities, Model Uncertainty, and Macro Stress Testing

Bank of Canada Working papers [View] (Paper: 2008-30, 24.09.2008)

JEL: C15, G21, G33

Macro-model-based stress testing of Basel II capital requirements

Bank of Finland Discussion Papers [View] (Paper: 2008/17, 09.09.2008)

JEL: C15, G21, G28, G33

How Important are Financial Frictions in the U.S. and the Euro Area

Sveriges Riksbank Working Papers [View] (Paper: 223, 01.07.2008)

JEL: C11, C15, E32, E40, E50, G10

Panel estimation of state dependent adjustment when the target is unobserved

Deutsche Bundesbank Discussion Papers [View] (Paper: 200809, 09.06.2008)

JEL: C15, C23, D21

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Deutsche Bundesbank Banking Supervision Discussion Papers [View] (Paper: 2008/14, 04.06.2008)

JEL: C15, G20, G28, G32

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

Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk

Netherlands Bank DNB Working Papers [View] (Paper: 175, 15.05.2008)

JEL: C15, E44, G21, G32

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