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All Blog Posts Tagged 'Oesterreichische Nationalbank' (2)

How to find plausible, severe, and useful stress scenarios - Oesterreichische Nationalbank

Thomas Breuer Martin Jandacka

Klaus Rheinberger Martin Summer



[The authors] give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifics for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of plausibility in terms of the risk factor distribution and search systematically for the worst portfolio loss over… Continue

Added by John A Morrison on March 6, 2009 at 5:00am — No Comments

Are Banks Different? Evidence from the CDS Market - Oesterreichische Nationalbank (OeNB)

Burkhard Raunig and Martin Scheicher Oesterreichische Nationalbank (OeNB)

February 16, 2009



This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. The authors study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial turmoil. The authors use monthly data on the Credit Default Swaps (CDS) of 41 major banks… Continue

Added by John A Morrison on March 6, 2009 at 4:30am — No Comments

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