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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks

Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …

Persistent link: https://www.econbiz.de/10003831692

Solving Linear Difference Systems with Lagged Expectations by a Method of Undetermined Coefficients

Wang, Pengfei - 2006

This paper proposes a solution method to solve linear difference models with lagged expectations. Variables with lagged expectations expand the model's state space greatly when N is large; and getting the system into a canonical form solvable by the traditional methods involves substantial manual...

Persistent link: https://www.econbiz.de/10012734732

Procurement strategy with credit risk

Wang, Hsiao-fan; Su, Ray - In: International journal of operations and quantitative … 19 (2013) 3, pp. 179-200

Persistent link: https://www.econbiz.de/10010253593

Optimal dividend policy with random interest rates

Akyildirim, Erdinç; Güney, Ethem; Rochet, Jean-Charles; … - 2013

Persistent link: https://www.econbiz.de/10009750651

Exact Utilities Under Alternative Monetary Rules in a Simple Macro Model with Optimizing Agents

Henderson, Dale W.; Kim, Jinill - 2001

We construct an optimizing-agent model of a closed economy which is simple enough that we can use it to make exact utility calculations. There is a stabilization problem because there are one-period nominal contracts for wages, or prices, or both and shocks that are unknown at the time when...

Persistent link: https://www.econbiz.de/10014154210

Identification of macroeconomic factors in large panels

Bork, Lasse; Dewachterz, Hans; Houssax, Romain - 2009

Persistent link: https://www.econbiz.de/10003910568

Identification of macroeconomic factors in large papels

Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009

Persistent link: https://www.econbiz.de/10003910620

Identification of macroeconomic factors in large panels

Bork, Lasse; Dewachter, Hans; Houssa, Romain - 2009

Persistent link: https://www.econbiz.de/10003883594

Optimal monetary policy under uncertainty

Froyen, Richard T.; Guender, Alfred V. - 2007

Persistent link: https://www.econbiz.de/10003449640

Optimal monetary policy under uncertainty

Froyen, Richard T. - 2007

Recently there has been a resurgence of interest in the study of optimal monetary policy under uncertainty. This book provides a thorough survey of the literature that has resulted from this renewed interest. The authors ground recent contributions on the 'science of monetary policy' in the...

Persistent link: https://www.econbiz.de/10012420009