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Systemic risk contributions: A credit portfolio approach. (2013). Tente, Natalia ; Dullmann, Klaus ; Puzanova, Natalia .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:4:p:1243-1257.

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  2. Distribution of credit-risk concentration in particular sectors of the economy, and economic capital before and during the COVID-19 pandemic. (2023). Nehrebecka, Natalia.
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  3. Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel.
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  4. Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the Dutch Financial Sector. (2022). van Wijnbergen, Sweder ; Dimitrov, Daniel.
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  14. Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro.
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  15. M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress. (2019). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja.
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  17. Looking through systemic credit risk: determinants, stress testing and market value. (2019). Novales, Alfonso ; Chamizo, Alvaro.
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  18. Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures. (2019). Nehrebecka, Natalia.
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  19. Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components. (2019). Novales, Alfonso ; Chamizo, Alvaro.
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  20. Systemic risk, financial markets, and performance of financial institutions. (2018). Sun, Edward ; Lin, Edward ; Yu, Min-Teh.
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  21. Systemic risk in a structural model of bank default linkages. (2018). Kreis, Yvonne.
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  23. It Takes More than Two to Tango: Understanding the Dynamics behind Multiple Bank Lending and its Implications. (2018). Kosenko, Konstantin ; Michelson, Noam.
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  24. M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements. (2017). Tente, Natalia ; Slopek, Ulf ; von Westernhagen, Natalja.
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  25. On identifying the domestic systemically important banks: The case of Tunisia. (2017). Bejaoui, Azza ; Snoussi, Wafa ; Hmissi, Bochra.
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  27. Sectoral risk in the Italian Banking System. (2017). Accornero, Matteo ; Sorrentino, Alberto Maria ; Parlapiano, Fabio ; Felici, Roberto ; Cascarino, Giuseppe.
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  38. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options. (2014). Welz, Peter ; Tente, Natalia ; Lang, Jan Hannes ; Klaus, Benjamin ; Kakes, Jan ; Giordana, Gastón ; Detken, Carsten ; Castro, Christian ; Bonfim, Diana ; Boucinha, Miguel ; Alessi, Lucia ; Weeken, Olaf.
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    RePEc:spr:finsto:v:10:y:2006:i:3:p:367-393.

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  32. Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions. (2006). LAMOOT, J. ; Annaert, J. ; LANINE, G. ; Crispiniano Garcia Joao Batista, .
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/367.

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  33. Tail Conditional Expectation for vector-valued Risks. (2006). Bentahar, Imen ; BEN TAHAR, IMEN .
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2006-029.

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  34. Coherent Measures of Risk from a General Equilibrium Perspective. (2006). Kóczy, László ; Herings, P. Jean-Jacques ; Csóka, Péter ; Koczy, Laszlo ; Csoka, Peter.
    In: IEHAS Discussion Papers.
    RePEc:has:discpr:0611.

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  35. Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients. (2006). Brummelhuis, Raymond.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0605.

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  36. Reducing Asset Weights Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. (2006). Tilke, Stephan.
    In: University of Regensburg Working Papers in Business, Economics and Management Information Systems.
    RePEc:bay:rdwiwi:706.

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  37. Noise sensitivity of portfolio selection under various risk measures. (2006). Kondor, Imre ; Nagy, Gabor ; Pafka, Szilard .
    In: Papers.
    RePEc:arx:papers:physics/0611027.

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  38. Measuring sectoral diversification in an asymptotic multi-factor framework. (2006). Tasche, Dirk.
    In: Papers.
    RePEc:arx:papers:physics/0505142.

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  39. Inverse stochastic dominance constraints and rank dependent expected utility theory. (2005). Ruszczynski, Andrzej ; Dentcheva, Darinka.
    In: GE, Growth, Math methods.
    RePEc:wpa:wuwpge:0503001.

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  40. Risk Measure Pricing and Hedging in Incomplete Markets. (2005). Xu, Mingxin.
    In: Finance.
    RePEc:wpa:wuwpfi:0406004.

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  41. Methodology of measuring performance in alternative investment.. (2005). Nagot, Isabelle ; Bonnet, Alexis .
    In: Cahiers de la Maison des Sciences Economiques.
    RePEc:mse:wpsorb:b05078.

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  42. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996.

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  43. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:927-958.

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  44. On the significance of expected shortfall as a coherent risk measure. (2005). Inui, Koji ; Kijima, Masaaki.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:853-864.

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  45. Optimization of Risk Measures. (2004). Shapiro, Alexander ; Ruszczynski, Andrzej.
    In: Risk and Insurance.
    RePEc:wpa:wuwpri:0407002.

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  46. Backtesting for risk-based regulatory capital. (2004). Melenberg, Bertrand ; Kerkhof, Jeroen.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:8:p:1845-1865.

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  47. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533.

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  48. Spectral measures of risk: A coherent representation of subjective risk aversion. (2002). Acerbi, Carlo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1505-1518.

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  49. Measures of risk. (2002). Szego, Giorgio .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1253-1272.

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  50. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
    In: Papers.
    RePEc:arx:papers:cond-mat/0207750.

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