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A model for dependent defaults and pricing contingent claims with counterparty risk

Gatarek, Dariusz; Jabłecki, Juliusz - 2013

Persistent link: https://www.econbiz.de/10009748716

Estimating the risk of joint defaults : an application to central bank collateralized lending operations

Gatarek, Dariusz; Jabłecki, Juliusz - 2014

Persistent link: https://www.econbiz.de/10010387351

A simple model of correlated defaults with application to repo portfolios

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of derivatives : the official publication … 23 (2015) 1, pp. 8-23

Persistent link: https://www.econbiz.de/10011404518

Modeling joint default in correlation-sensitive instruments

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42

Persistent link: https://www.econbiz.de/10011642666

Swap rate à la stock : Bermudan swaptions made easy

Gatarek, Dariusz; Jabłecki, Juliusz - In: Options - 45 years since the publication of the …, (pp. 393-412). 2023

Persistent link: https://www.econbiz.de/10014366688

The impact of Basel I capital requirements on bank behaviour and the efficacy of monetary policy

Jabłecki, Juliusz - In: International journal of economic sciences and applied … 2 (2009) 1, pp. 16-35

The paper attempts to investigate the influence of the 1988 Basel Accord on bank behavior and monetary policy. It is argued that the Accord was successful in that it forced commercial banks in all of G-10 countries to maintain higher capital ratios. Tentative research suggests, however, that -...

Persistent link: https://www.econbiz.de/10009008430