Details about Natalia Tente

Access statistics for papers by Natalia Tente.

Last updated 2019-11-11. Update your information in the RePEc Author Service.

Short-id: pte269

Working Papers

2017

1. M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements
   Discussion Papers, Deutsche Bundesbank View citations (1)

2014

2. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
   ESRB Occasional Paper Series, European Systemic Risk Board View citations (88)

2011

3. A hierarchical Archimedean copula for portfolio credit risk modelling
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (7)
4. A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (1)
5. Systemic risk contributions: a credit portfolio approach
   Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank View citations (4)
   See also Journal Article Systemic risk contributions: A credit portfolio approach, Journal of Banking & Finance, Elsevier (2013) View citations (42) (2013)

Journal Articles

2019

1. M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress
   Journal of Money, Credit and Banking, 2019, 51, (7), 1923-1961 View citations (2)

2013

2. Systemic risk contributions: A credit portfolio approach
   Journal of Banking & Finance, 2013, 37, (4), 1243-1257 View citations (42)
   See also Working Paper Systemic risk contributions: a credit portfolio approach, Discussion Paper Series 2: Banking and Financial Studies (2011) View citations (4) (2011)

2009

3. Approximate value-at-risk calculation for heterogeneous loan portfolios: Possible enhancements of the Basel II methodology
   Journal of Financial Stability, 2009, 5, (4), 374-392 View citations (1)