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Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks

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References

1998Portfolio Credit Risk362 cited
2008Institutional Features of Wage Bargaining in 23 European Countries, the US and Japan166 cited
2008Early Estimates of Euro Area Real GDP Growth: A Bottom Up Approach from the Production Side86 cited
2008Default recovery rates and LGD in credit risk modelling and practice: An updated review of the literature and empirical evidence81 cited
2004CreditRisk+ in the Banking Industry71 cited
2010What explains the spread between the Euro overnight rate and the ECB's policy rate?69 cited
2008A Value at Risk Analysis of Credit Default Swaps60 cited
2007The Daily and Policy-Relevant Liquidity Effects26 cited

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2009Asset Prices and Current Account Fluctuations in G-7 Economies37 cited
2009Bidding Behaviour in the ECB's Main Refinancing Operations during the Financial Crisis29 cited
2008Stress Testing Credit Risk: A Survey of Authorities' Approaches28 cited
2009Inflation Forecasting in the New EU Member States19 cited

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