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Accounting and prudential regulation: from uncomfortable bedfellows to perfect partners?

Borio, Claudio; Tsatsaronis, Kostas - In: Journal of Financial Stability 1 (2004) 1, pp. 111-135

Persistent link: https://www.econbiz.de/10005402776

Drehmann, Mathias; Borio, Claudio; Tsatsaronis, Kostas - In: The Role of Central Banks in Financial Stability:How …

AbstractThe following sections are included:IntroductionData and MethodologyFrequency-based filter analysisTurning-point analysisCharacterizing Cycles in Individual SeriesFrequency-based filter analysis: Short-term and medium-term cyclesTurning-point analysis: Short-term and medium-term...

Persistent link: https://www.econbiz.de/10011206568

Measuring portfolio credit risk correctly : why parameter uncertainty matters

Tarashev, Nikola A. - In: Journal of banking & finance 34 (2010) 9, pp. 2065-2076

Persistent link: https://www.econbiz.de/10008732113

Strukturelle Ausfallmodelle : Lehren aus Einzelschuldnerfallen

Tarashev, Nikola A. - In: BIZ-Quartalsbericht (2005), pp. 115-126

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The supervision of an integrating European banking sector : theory, practice, and challenges

Tsatsaronis, Kostas - In: Handbook of European financial markets and institutions, (pp. 668-689). 2008

Persistent link: https://www.econbiz.de/10003605659

Commercial paper markets : a survey

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Persistent link: https://www.econbiz.de/10000346365

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

Tarashev, Nikola; Zhu, Haibin - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreadsof a popular credit default swap (CDS) index – we extract risk-neutral probabilities ofdefault (PDs) and physical asset return correlations from single-name CDS spreads. Thetime profile and overall level...

Persistent link: https://www.econbiz.de/10005866358

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

Tarashev, Nikola A.; Zhu, Haibin - In: The journal of fixed income 18 (2008/09) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10003757568

Measuring portfolio credit risk correctly : why parameter uncertainty matters

Tarashev, Nikola A. - 2009

Persistent link: https://www.econbiz.de/10003847625

Speculative attacks and the information role of the interest rate

Tarashev, Nikola A. - In: Journal of the European Economic Association 5 (2007) 1, pp. 1-36

Persistent link: https://www.econbiz.de/10003443114