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Details about Natalia Tente

E-mail:
Homepage:https://www.bundesbank.de/en/natalia-tente
Workplace:Deutsche Bundesbank (German Federal Bank), (more information at EDIRC)

Access statistics for papers by Natalia Tente.

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

Short-id: pte269


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Working Papers

2017

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

2015

  1. Basel III D: Swiss Finish to Basel III
    Yale School of Management YPFS Cases, Yale School of Management Downloads
  2. European Banking Union C: Cross-Border Resolution–Fortis Group
    Yale School of Management YPFS Cases, Yale School of Management Downloads

2014

  1. European Banking Union D: Cross-Border Resolution—Dexia Group
    Yale School of Management YPFS Cases, Yale School of Management Downloads
  2. Operationalising the countercyclical capital buffer: indicator selection, threshold identification and calibration options
    ESRB Occasional Paper Series, European Systemic Risk Board Downloads View citations (19)

2011

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

2013

  1. Systemic risk contributions: A credit portfolio approach
    Journal of Banking & Finance, 2013, 37, (4), 1243-1257 Downloads View citations (23)
    See also Working Paper (2011)

2009

  1. 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 Downloads

2005

  1. Default dependence among corporate bond issuers: empirical evidence from time series data
    Applied Financial Economics Letters, 2005, 1, (5), 297-302 Downloads View citations (1)
 
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