Central Bank Research Hub - Series: Deutsche Bundesbank Banking Supervision Discussion Papers 2008

Papers by year: All | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003

Title Author(s)

Stochastic frontier analysis by means of maximum likelihood and the method of moments

Paper: 2008/19, 14.11.2008

Real estate markets and bank distress

Paper: 2008/18, 15.09.2008

JEL: C25, G21, G3

Stress testing of real credit portfolios

Paper: 2008/17, 08.09.2008

JEL: G21, G28

The impact of downward rating momentum on credit portfolio risk

Paper: 2008/16, 29.06.2008

The implications of latent technology regimes for competition and efficiency in banking

Paper: 2008/15, 13.06.2008

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

Paper: 2008/14, 04.06.2008

JEL: C15, G20, G28, G32

Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations

Paper: 2008/13, 03.06.2008

JEL: G0

Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation

Paper: 2008/11, 02.06.2008

JEL: C13, G21, G28, G31

The pricing of correlated default risk: evidence from the credit derivatives market

Paper: 2008/09, 30.05.2008

JEL: C15, G12, G13

Which interest rate scenario is the worst one for a bank? Evidence from a tracking bank approach for German savings and cooperative banks

Paper: 2008/07, 09.05.2008

JEL: G12, G21

The success of bank mergers revisited - an assessment based on a matching strategy

Paper: 2008/06, 06.05.2008

Estimating asset correlations from stock prices or default rates - which method is superior?

Paper: 2008/04, 14.04.2008

Monetary policy and bank distress: an integrated micro-macro approach

Paper: 2008/03, 02.04.2008

JEL: E42, E52, E58, G21, G28

Papers by year: All | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003