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A stress test to incorporate correlation breakdown
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A stress test to incorporate correlation breakdown (2000)A stress test to incorporate correlation …Stress Testing of Real Credit Portfolios (2016)Stress Testing of Real Credit…Macro Stress Testing of the Slovak Banking Sector (2008)Macro Stress Testing of the S…Crisis-Robust Bond Portfolios (2008)Crisis-Robust Bond PortfoliosMacroeconomic Stress Testing: Preliminary Evidence for Austria (2002)Household Debt Sustainability: What Explains Household Non-Performing Loans? An Empirical Analysis (2006)Default rates in the loan market for SMEs: Evidence from Slovakia (2009)Macroeconomic Credit Risk Factors in Poland’s Banking Sector (2014)Macro stress testing the U.S. banking system (2017)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Coherent Measures of Risk (1999)A risk-factor model foundation for ratings-based bank capital rules (2003)Forecasting national activity using lots of international predictors: An application to New Zealand (2010)The dark and the bright side of liquidity risks: Evidence from open-end real estate funds in Germany (2014)Stress tests: useful complements to financial risk models (2019)Extreme Correlation of International Equity Markets (2001)Dynamic Conditional Correlation (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Hedging inflation risk in a developing economy: The case of Brazil (2012)
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  • 2016Stress Testing of Real Credit Portfolios36 cited
  • 2008Macro Stress Testing of the Slovak Banking Sector34 cited
  • 2008Crisis-Robust Bond Portfolios21 cited

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