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Model uncertainty and aggregated default probabilities: new evidence from Austria

Hofmarcher, Paul; Kerbl, Stefan; Grün, Bettina; … - In: Applied Economics 46 (2014) 8, pp. 871-879

Understanding the determinants of aggregated corporate default probabilities (PDs) has attracted substantial research interest over the past decades. This study addresses two major difficulties in understanding the determinants of aggregate PDs: model uncertainty and multicollinearity among the...

Persistent link: https://www.econbiz.de/10010740737

Evidence, estimates and extreme values from Austria

Kerbl, Stefan - In: The journal of operational risk 9 (2014/2015) 3, pp. 89-123

Persistent link: https://www.econbiz.de/10013262966

Assessing macro-prudential policies : the case of FX lending

Sigmund, Michael - In: Journal of economics and finance : JEF 45 (2021) 2, pp. 316-359

Persistent link: https://www.econbiz.de/10012496691

The capital buffer calibration for other systemically important institutions : is the country heterogeneity in the EU caused by regulatory capture?

Sigmund, Michael - In: Scottish journal of political economy : the journal of … 69 (2022) 5, pp. 533-563

Persistent link: https://www.econbiz.de/10013396127

The interaction between bank solvency and funding costs : A crucial effect in stress tests

Schmitz, Stefan W.; Sigmund, Michael; Valderrama, Laura - In: Economic Notes 48 (2019) 2

Persistent link: https://www.econbiz.de/10012089396

Reciprocity in bank regulatory reforms and income inequality : first evidence from a panel vector autoregression analysis

Steininger, Lea; Sigmund, Michael - In: Empirical economics : a journal of the Institute for … 59 (2020) 4, pp. 1537-1572

Persistent link: https://www.econbiz.de/10012298819

Panel vector autoregression in R with the package panelvar

Sigmund, Michael; Ferstl, Robert - In: The quarterly review of economics and finance : journal … 80 (2021), pp. 693-720

Persistent link: https://www.econbiz.de/10012655612

Do interbank markets price systemic risk?

Sigmund, Michael; Siebenbrunner, Christoph - In: Journal of financial stability 71 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014533540