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Christian Schmieder

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Li Lian Ong & Min Wei & Christian Schmieder, 2023. "Insights into credit loss rates: a global database," BIS Working Papers 1101, Bank for International Settlements.

    Cited by:

    1. Martin Birn & Renzo Corrias & Christian Schmieder & Nikola Tarashev, 2023. "Banks' credit loss forecasts: lessons from supervisory data," BIS Working Papers 1125, Bank for International Settlements.

  2. Ulf Lewrick & Christian Schmieder & Jhuvesh Sobrun & Elod Takats, 2020. "Releasing bank buffers to cushion the crisis - a quantitative assessment," BIS Bulletins 11, Bank for International Settlements.

    Cited by:

    1. Leonardo Gambacorta & Tommaso Oliviero & Tommaso Hyun Song Shin, 2020. "Low price-to-book ratios and bank dividend payout policies," BIS Working Papers 907, Bank for International Settlements.
    2. Bryan Hardy & Elod Takáts, 2020. "International banking amidst Covid-19: resilience and drivers," BIS Quarterly Review, Bank for International Settlements, December.

  3. Kollar, Miroslav & Schmieder, Christian, 2019. "Macro-based asset allocation: An empirical analysis," EIB Working Papers 2019/11, European Investment Bank (EIB).

    Cited by:

    1. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.

  4. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2017. "Macroprudential Liquidity Stress Testing in FSAPs for Systemically Important Financial Systems," IMF Working Papers 2017/102, International Monetary Fund.

    Cited by:

    1. Mr. Fei Han & Mindaugas Leika, 2019. "Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models," IMF Working Papers 2019/250, International Monetary Fund.
    2. Andreas Jobst & Ms. Hiroko Oura, 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing," IMF Working Papers 2019/266, International Monetary Fund.
    3. Edoardo Gaffeo & Lucio Gobbi & Massimo Molinari, 2019. "Liquidity contagion with a “first-in/first-out†seniority of claims," Economics Bulletin, AccessEcon, vol. 39(4), pages 2572-2579.
    4. Nina Boyarchenko & Domenico Giannone & Or Shachar, 2018. "Flighty liquidity," Staff Reports 870, Federal Reserve Bank of New York.
    5. Nikolaos Georgiopoulos & Carnell Lambert, 2020. "Macroprudential liquidity stress tests using BIS locational banking statistics," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Bridging measurement challenges and analytical needs of external statistics: evolution or revolution?, volume 52, Bank for International Settlements.
    6. Valentina Macchiati & Giuseppe Brandi & Tiziana Di Matteo & Daniela Paolotti & Guido Caldarelli & Giulio Cimini, 2022. "Systemic liquidity contagion in the European interbank market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(2), pages 443-474, April.
    7. Aditya Anta Taruna & Cicilia Anggadewi Harun & Raquela Renanda Nattan, 2020. "Macroprudential Liquidity Stress Test: An Application to Indonesian Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 165-187.

  5. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.

    Cited by:

    1. Dorian Noel & Prosper Bangwayo-Skeete & Justin Robinson & Michael Brei, 2021. "Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean," Post-Print hal-03592667, HAL.
    2. Brana, Sophie & Prat, Stéphanie, 2016. "The effects of global excess liquidity on emerging stock market returns: Evidence from a panel threshold model," Economic Modelling, Elsevier, vol. 52(PA), pages 26-34.

  6. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.

    Cited by:

    1. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    2. Kuo-Wei Hsiao & Zhengyi Jiang, 2015. "The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 77-97.
    3. Tente, Natalia & von Westernhagen, Natalja & Slopek, Ulf, 2017. "M-PRESS-CreditRisk: A holistic micro- and macroprudential approach to capital requirements," Discussion Papers 15/2017, Deutsche Bundesbank.
    4. William F. Bassett & David E. Rappoport, 2022. "Enhancing Stress Tests by Adding Macroprudential Elements," Finance and Economics Discussion Series 2022-022, Board of Governors of the Federal Reserve System (U.S.).
    5. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    6. Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
    7. Andreas Jobst & Ms. Hiroko Oura, 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing," IMF Working Papers 2019/266, International Monetary Fund.
    8. Ventsislav Hristev, 2014. "Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 92-109, December.
    9. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
    10. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    11. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    12. A. P. Pati, 2017. "Credit Risk Stress Testing Practices in BRICS: Post-global Financial Crisis Scenario," Global Business Review, International Management Institute, vol. 18(4), pages 936-954, August.
    13. Bank for International Settlements, 2016. "Experiences with the ex ante appraisal of macroprudential instruments," CGFS Papers, Bank for International Settlements, number 56, december.
    14. Li Lian Ong & Ceyla Pazarbasioglu, 2014. "Credibility and Crisis Stress Testing," IJFS, MDPI, vol. 2(1), pages 1-67, February.
    15. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2015. "Many a little makes a mickle: Macro portfolio stress test for small and medium-sized German banks," Discussion Papers 23/2015, Deutsche Bundesbank.
    16. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    17. Ms. Li L Ong & Ceyla Pazarbasioglu, 2013. "Credibility and Crisis Stress Testing," IMF Working Papers 2013/178, International Monetary Fund.
    18. Pablo García & Bárbara Ulloa, 2017. "Financial Surveillance and Communication: Recent and Future Challenges from the Chilean Experience," Economic Policy Papers Central Bank of Chile 61, Central Bank of Chile.
    19. International Monetary Fund, 2014. "People’s Republic of China–Hong Kong Special Administrative Region: Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 2014/210, International Monetary Fund.
    20. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2018. "Many a little makes a mickle: Stress testing small and medium-sized German banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 237-253.

  7. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.

    Cited by:

    1. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    2. Nicholas Garvin & Samuel Kurian & Mike Major & David Norman, 2022. "Macrofinancial Stress Testing on Australian Banks," RBA Research Discussion Papers rdp2022-03, Reserve Bank of Australia.
    3. International Monetary Fund, 2015. "Georgia: Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 2015/007, International Monetary Fund.
    4. Waelchli Boris, 2016. "A proximity based macro stress testing framework," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-26, November.
    5. Benoit Mojon & Daniel Rees & Christian Schmieder, 2021. "How much stress could Covid put on corporate credit? Evidence using sectoral data," BIS Quarterly Review, Bank for International Settlements, March.
    6. International Monetary Fund, 2017. "Luxembourg: Financial Sector Assessment Program: Technical Note-Risk Analysis," IMF Staff Country Reports 2017/261, International Monetary Fund.
    7. Nurfilzah Arham & Mohd Shamlie Salisi & Rozita Uji Mohammed & Jasman Tuyon, 2020. "Impact of macroeconomic cyclical indicators and country governance on bank non-performing loans in Emerging Asia," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 10(4), pages 707-726, December.
    8. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    9. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    10. International Monetary Fund, 2016. "Montenegro: Financial Sector Assessment Program-Banking Sector Stress Testing-Technical Note," IMF Staff Country Reports 2016/198, International Monetary Fund.
    11. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    12. International Monetary Fund, 2015. "Namibia: Selected Issues," IMF Staff Country Reports 2015/277, International Monetary Fund.
    13. Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
    14. Maria-Daciana RODEAN (COZMA) & Nicolae BALTEŞ, 2016. "Study regarding the influence of the endogenous and exogenous factors on credit institution’s return on assets," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(1(606), S), pages 247-254, Spring.

  8. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.

    Cited by:

    1. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    2. J. D. Opdyke, 2014. "Estimating Operational Risk Capital with Greater Accuracy, Precision, and Robustness," Papers 1406.0389, arXiv.org, revised Nov 2014.
    3. Paolo Giordani & Simon H. Kwan, 2019. "Tracking Financial Fragility," Working Paper Series 2019-6, Federal Reserve Bank of San Francisco.
    4. Donald P. Morgan & Stavros Peristiani & Vanessa Savino, 2014. "The Information Value of the Stress Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1479-1500, October.
    5. Mr. Robert M Heath, 2013. "Why are the G-20 Data Gaps Initiative and the SDDS Plus Relevant for Financial Stability Analysis?," IMF Working Papers 2013/006, International Monetary Fund.
    6. Piffaretti, Nadia F., 2014. "Elements for a Conceptual Model of Fragility," MPRA Paper 77861, University Library of Munich, Germany.
    7. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
    8. N. N. Taleb & R. Douady, 2013. "Mathematical definition, mapping, and detection of (anti)fragility," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1677-1689, November.
    9. Callegari, C. & Szklo, A. & Schaeffer, R., 2018. "Cost overruns and delays in energy megaprojects: How big is big enough?," Energy Policy, Elsevier, vol. 114(C), pages 211-220.
    10. Andrzej Slawinski, 2015. "Shielding money creation from severe banking crises: How useful are proposals offered by the alternative reform plans?," Bank i Kredyt, Narodowy Bank Polski, vol. 46(3), pages 191-206.
    11. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    12. Thomas Santoli & Christoph Siebenbrunner, 2018. "An ontological investigation of unimaginable events," Papers 1803.02570, arXiv.org, revised Jun 2018.
    13. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    14. Robert Heath, 2013. "Why Are The G-20 Data Gaps Initiative And The Sdds Plus Relevant For Financial Stability Analysis?," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 4(03), pages 1-24.
    15. Setene, Letlama & Jordaan, Daniel du P.S., 2021. "The trade-off between chain performance and fragility considering coordination strategies of agri-food chains: a South African egg chain's case study," International Food and Agribusiness Management Review, International Food and Agribusiness Management Association, vol. 24(3), March.
    16. Lemus, Antonio & Nuñez, Marco, 2020. "Pruebas de tensión bancaria: experiencia en los principales mercados financieros del mundo y en Chile [Bank stress tests: evidence from the main financial markets and Chile]," MPRA Paper 99097, University Library of Munich, Germany.
    17. Harald de Bruijn & Andreas Größler & Nuno Videira, 2020. "Antifragility as a design criterion for modelling dynamic systems," Systems Research and Behavioral Science, Wiley Blackwell, vol. 37(1), pages 23-37, January.
    18. Atif Ansar & Bent Flyvbjerg & Alexander Budzier & Daniel Lunn, 2016. "Big is Fragile: An Attempt at Theorizing Scale," Papers 1603.01416, arXiv.org, revised Jun 2017.

  9. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.

    Cited by:

    1. Andreas Jobst & Ms. Li L Ong & Mr. Christian Schmieder, 2013. "A Framework for Macroprudential Bank Solvency Stress Testing: Application to S-25 and Other G-20 Country FSAPs," IMF Working Papers 2013/068, International Monetary Fund.
    2. Mr. Eugenio M Cerutti, 2013. "Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants," IMF Working Papers 2013/009, International Monetary Fund.

  10. Mr. Claus Puhr & Mr. Andre O Santos & Mr. Christian Schmieder & Salih N. Neftci & Mr. Benjamin Neudorfer & Mr. Stefan W. Schmitz & Mr. Heiko Hesse, 2012. "Next Generation System-Wide Liquidity Stress Testing," IMF Working Papers 2012/003, International Monetary Fund.

    Cited by:

    1. International Monetary Fund, 2013. "France: Financial Sector Assessment Program—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/185, International Monetary Fund.
    2. Sebastián Becerra & Gregory Claeys & Juan Francisco Martínez, 2016. "A new liquidity risk measure for the Chilean banking sector," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 19(3), pages 026-067, December.
    3. International Monetary Fund, 2013. "European Union: Publication of Financial Sector Assessment Program Documentation—Technical Note on Stress Testing of Banks," IMF Staff Country Reports 2013/068, International Monetary Fund.
    4. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    5. Juan-Francisco Martínez & Rodrigo Cifuentes & Juan Sebastián Becerra, 2017. "Pruebas de Tensión Bancaria del Banco Central de Chile: Actualización," Working Papers Central Bank of Chile 801, Central Bank of Chile.
    6. Oana-Maria Georgescu & Dimitrios Laliotis & Miha Leber & Javier Población, 2020. "A Liquidity Shortfall Analysis Framework for the European Banking Sector," Mathematics, MDPI, vol. 8(5), pages 1-15, May.
    7. Christoph Aymanns & Carlos Caceres & Christina Daniel & Miss Liliana B Schumacher, 2016. "Bank Solvency and Funding Cost," IMF Working Papers 2016/064, International Monetary Fund.
    8. Ventsislav Hristev, 2014. "Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 92-109, December.
    9. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
    10. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
    11. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    12. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    13. Zlatuse Komarkova & Marek Rusnak & Hana Hejlova, 2016. "The Relationship between Liquidity Risk and Credit Risk in The CNB's Liquidity Stress Tests," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2015/2016, chapter 0, pages 127-136, Czech National Bank.
    14. Neagu, Florian & Mihai, Irina, 2013. "Sudden stop of capital flows and the consequences for the banking sector and the real economy," Working Paper Series 1591, European Central Bank.
    15. Hana Hejlová & Zlatuše Komárková & Marek Rusnák, 2020. "A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards," Prague Economic Papers, Prague University of Economics and Business, vol. 2020(3), pages 251-273.
    16. International Monetary Fund, 2013. "Brazil: Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/147, International Monetary Fund.
    17. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    18. Aditya Anta Taruna & Cicilia Anggadewi Harun & Raquela Renanda Nattan, 2020. "Macroprudential Liquidity Stress Test: An Application to Indonesian Banks," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(special i), pages 165-187.

  11. Philipp Schmieder & Mr. Christian Schmieder, 2011. "The Impact of Legislation on Credit Risk—Comparative Evidence From the United States, the United Kingdom and Germany," IMF Working Papers 2011/055, International Monetary Fund.

    Cited by:

    1. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    2. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    3. Mr. Daniel C Hardy, 2013. "Bank Resolution Costs, Depositor Preference, and Asset Encumbrance," IMF Working Papers 2013/172, International Monetary Fund.

  12. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.

    Cited by:

    1. Office of Financial Research (ed.), 2012. "Office of Financial Research 2012 Annual Report," Reports, Office of Financial Research, US Department of the Treasury, number 12-1.
    2. Bernd Engelmann & Ha Pham, 2020. "Measuring the Performance of Bank Loans under Basel II/III and IFRS 9/CECL," Risks, MDPI, vol. 8(3), pages 1-21, September.
    3. Dijkman,Miquel, 2015. "Monitoring financial stability in developing and emerging economies : practical guidance for conducting macroprudential analysis," Policy Research Working Paper Series 7248, The World Bank.
    4. International Monetary Fund, 2015. "Georgia: Financial Sector Assessment Program-Stress Testing the Banking Sector-Technical Note," IMF Staff Country Reports 2015/007, International Monetary Fund.
    5. Zuzana Fungáèová & Petr Jakubík, 2012. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Working Papers IES 2012/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2012.
    6. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    7. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
    8. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    9. Devendra Kumar Jain & Rup Singh & Henali Kumar & Nikeel Kumar & Arvind Patel, 2022. "Why does currency denomination in external liabilities of small island developing states matter? Evidence from Fiji," Asia and the Pacific Policy Studies, Wiley Blackwell, vol. 9(3), pages 447-464, September.
    10. Gross, Marco & Población García, Francisco Javier, 2015. "A false sense of security in applying handpicked equations for stress test purposes," Working Paper Series 1845, European Central Bank.
    11. International Monetary Fund, 2017. "Luxembourg: Financial Sector Assessment Program: Technical Note-Risk Analysis," IMF Staff Country Reports 2017/261, International Monetary Fund.
    12. Theophilos Papadimitriou & Periklis Gogas & Anna Agrapetidou, 2022. "The resilience of the U.S. banking system," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 2819-2835, July.
    13. Yun, Tae-Sub & Jeong, Deokjong & Park, Sunyoung, 2019. "“Too central to fail” systemic risk measure using PageRank algorithm," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 251-272.
    14. Melecky, Ales & Melecky, Martin & Sulganova, Monika, 2014. "Úvěry v selhání a makroekonomika: Modelování systémového kreditního rizika v České republice [Non-performing loans and the macroeconomy: Modeling the systemic credit risk in Czech Republic]," MPRA Paper 59917, University Library of Munich, Germany.
    15. Ventsislav Hristev, 2014. "Bank Stress-Testing Lessons from Central, Eastern and Southeastern European Countries," Economic Alternatives, University of National and World Economy, Sofia, Bulgaria, issue 4, pages 92-109, December.
    16. International Monetary Fund, 2012. "Czech Republic: Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2012/174, International Monetary Fund.
    17. Mr. Christian Schmieder & Mr. Tidiane Kinda & Mr. Nassim N. Taleb & Ms. Elena Loukoianova & Mr. Elie Canetti, 2012. "A New Heuristic Measure of Fragility and Tail Risks: Application to Stress Testing," IMF Working Papers 2012/216, International Monetary Fund.
    18. Giuseppe Montesi & Giovanni Papiro, 2018. "Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †," Risks, MDPI, vol. 6(3), pages 1-54, August.
    19. Roland Beck & Petr Jakubik & Anamaria Piloiu, 2015. "Key Determinants of Non-performing Loans: New Evidence from a Global Sample," Open Economies Review, Springer, vol. 26(3), pages 525-550, July.
    20. Mr. Heiko Hesse & Mr. Ferhan Salman & Mr. Christian Schmieder, 2014. "How to Capture Macro-Financial Spillover Effects in Stress Tests?," IMF Working Papers 2014/103, International Monetary Fund.
    21. Anastasios Petropoulos & Vasilis Siakoulis & Dionysios Mylonas & Aristotelis Klamargias, 2018. "A combined statistical framework for forecasting default rates of Greek Financial Institutions' credit portfolios," Working Papers 243, Bank of Greece.
    22. International Monetary Fund, 2014. "Canada: Financial Sector Assessment Program-Stress Testing-Technical Note," IMF Staff Country Reports 2014/069, International Monetary Fund.
    23. International Monetary Fund, 2017. "Finland: Financial Sector Assessment Program: Technical Note-Stress Testing the Banking System and Interconnectedness Analysis," IMF Staff Country Reports 2017/006, International Monetary Fund.
    24. Petr Jakubík & Tomáš Slacík, 2013. "Measuring Financial (In)Stability in Emerging Europe: A New Index-Based Approach," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 25, pages 102-117.
    25. International Monetary Fund, 2013. "Brazil: Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/147, International Monetary Fund.
    26. Canuto, Otaviano & Cavallari, Matheus, 2013. "Monetary policy and macroprudential regulation : whither emerging markets," Policy Research Working Paper Series 6310, The World Bank.
    27. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    28. International Monetary Fund, 2019. "Singapore: Financial Sector Assessment Program; Technical Note-Financial Stability Analysis and Stress Testing," IMF Staff Country Reports 2019/228, International Monetary Fund.
    29. Buch, Claudia M. & Vogel, Edgar & Weigert, Benjamin, 2018. "Evaluating macroprudential policies," ESRB Working Paper Series 76, European Systemic Risk Board.
    30. Marcin Borsuk & Oskar Krzesicki, 2020. "InSTA – integrated stress-testing approach at NBP. The past, present and future perspectives," NBP Working Papers 325, Narodowy Bank Polski.
    31. International Monetary Fund, 2016. "Morocco: Financial Sector Assessment Program: Technical Note-Stress Testing the Banking System," IMF Staff Country Reports 2016/329, International Monetary Fund.
    32. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
    33. Magdalena Ziolo & Beata Zofia Filipiak & Iwona Bąk & Katarzyna Cheba, 2019. "How to Design More Sustainable Financial Systems: The Roles of Environmental, Social, and Governance Factors in the Decision-Making Process," Sustainability, MDPI, vol. 11(20), pages 1-34, October.

  13. Ms. Yuliya Makarova & Ms. Anna Ilyina & Mr. Christian Schmieder & Mr. Eugenio M Cerutti, 2010. "Bankers Without Borders? Implications of Ring-Fencing for European Cross-Border Banks," IMF Working Papers 2010/247, International Monetary Fund.

    Cited by:

    1. Mr. Eugenio M Cerutti & Mr. Patrick M. McGuire & Mr. Stijn Claessens, 2011. "Systemic Risks in Global Banking: What Available Data Can Tell Us and What More Data Are Needed?," IMF Working Papers 2011/222, International Monetary Fund.
    2. Peric Blanka Skrabic & Konjusak Nikola, 2017. "How did rapid credit growth cause non-performing loans in the CEE Countries?," South East European Journal of Economics and Business, Sciendo, vol. 12(2), pages 73-84, December.
    3. Young Kevin, 2014. "The complex and covert web of financial protectionism," Business and Politics, De Gruyter, vol. 16(4), pages 1-35, December.
    4. Mr. Ralph De Haas & Ms. Yevgeniya Korniyenko & Mr. Alexander Pivovarsky & Ms. Elena Loukoianova, 2012. "Foreign Banks and the Vienna Initiative: Turning Sinners Into Saints?," IMF Working Papers 2012/117, International Monetary Fund.
    5. Mr. Nicolas Arregui & Mr. Mohamed Norat & Antonio Pancorbo & Ms. Jodi G Scarlata & Eija Holttinen & Fabiana Melo & Jay Surti & Christopher Wilson & Rodolfo Wehrhahn & Mamoru Yanase, 2013. "Addressing Interconnectedness: Concepts and Prudential Tools," IMF Working Papers 2013/199, International Monetary Fund.
    6. Schoenmaker, Dirk, 2016. "Resolution of International Banks: Can Smaller Countries Cope?," CEPR Discussion Papers 11600, C.E.P.R. Discussion Papers.
    7. Mr. Fabio Comelli, 2015. "Estimation and out-of-sample Prediction of Sudden Stops: Do Regions of Emerging Markets Behave Differently from Each Other?," IMF Working Papers 2015/138, International Monetary Fund.
    8. Sasidaran Gopalan, 2015. "Financial Liberalization and Foreign Bank Entry in Emerging and Developing Economies: What Does the Literature Tell Us?," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-25.
    9. Avgouleas, Emilios & Goodhart, Charles & Schoenmaker, Dirk, 2013. "Bank Resolution Plans as a catalyst for global financial reform," Journal of Financial Stability, Elsevier, vol. 9(2), pages 210-218.
    10. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
    11. Annick Pamen Nyola & Alain Sauviat & Amine Tarazi, 2017. "How Does Regulation Affect the Organizational Form of Banks' Presence in Developing and Developed Countries?," Working Papers hal-01369658, HAL.
    12. Sasidaran Gopalan, 2018. "Does foreign bank entry contribute to financial development? Examining the role of income thresholds," Development Policy Review, Overseas Development Institute, vol. 36(S2), pages 954-983, September.
    13. Yiannis Kokkinakis, 2016. "Greek Banking Expansion in South Eastern Europe and its Role in the Post-2009 Recession," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1072-1080.
    14. Bertay, A.C. & Demirgüc-Kunt, A. & Huizinga, H.P., 2011. "Is the Financial Safety Net a Barrier to Cross-Border Banking?," Discussion Paper 2011-132, Tilburg University, Center for Economic Research.
    15. Ralph De Haas & Iman Van Lelyveld, 2014. "Multinational Banks and the Global Financial Crisis: Weathering the Perfect Storm?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(s1), pages 333-364, February.
    16. Mr. Eugenio M Cerutti & Mr. Christian Schmieder, 2012. "The Need for "Un-consolidating" Consolidated Banks' Stress Tests," IMF Working Papers 2012/288, International Monetary Fund.
    17. International Monetary Fund, 2012. "Czech Republic: Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2012/174, International Monetary Fund.
    18. Isabella Moder, 2019. "Spillovers from the ECB's Non-standard Monetary Policy Measures on Southeastern Europe," International Journal of Central Banking, International Journal of Central Banking, vol. 15(4), pages 127-163, October.
    19. Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017. "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 19-31.
    20. Eguren-Martin, Fernando & Ossandon Busch, Matias & Reinhardt, Dennis, 2018. "Global banks and synthetic funding: the benefits of foreign relatives," Bank of England working papers 762, Bank of England, revised 27 Sep 2019.
    21. Cerutti, Eugenio & Schmieder, Christian, 2014. "Ring fencing and consolidated banks’ stress tests," Journal of Financial Stability, Elsevier, vol. 11(C), pages 1-12.
    22. Škrabić Perić, Blanka & Rimac Smiljanić, Ana & Aljinović, Zdravka, 2018. "Credit risk of subsidiaries of foreign banks in CEE countries: Impacts of the parent bank and home country economic environment," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 49-69.
    23. International Monetary Fund, 2013. "Brazil: Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/147, International Monetary Fund.
    24. Capponi, Agostino & Dooley, John M. & Oet, Mikhail V. & Ong, Stephen J., 2017. "Capital and resolution policies: The US interbank market," Journal of Financial Stability, Elsevier, vol. 30(C), pages 229-239.
    25. Schoenmaker, Dirk & Siegmann, Arjen, 2014. "Can European bank bailouts work?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 334-349.

  14. Memmel, Christoph & Schmieder, Christian & Stein, Ingrid, 2008. "Relationship Lending - Empirical Evidence For Germany," Economic and Financial Reports 2008/1, European Investment Bank, Economics Department.

    Cited by:

    1. Stein, Ingrid, 2011. "The price impact of lending relationships," Discussion Paper Series 2: Banking and Financial Studies 2011,04, Deutsche Bundesbank.
    2. Saibal Ghosh, 2019. "Lending Relationships, Borrowing Costs and Crisis: Evidence from Indian Micro Data," Global Business Review, International Management Institute, vol. 20(4), pages 1026-1050, August.
    3. Kouretas, Georgios P. & Pawłowska, Małgorzata, 2020. "Does change in the market structure have any impact on different types of bank loans in the EU?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    4. Weder di Mauro, Beatrice & Haselmann, Rainer & Marsch, Katharina, 2009. "Real Effects of Bank Governance: Bank Ownership and Corporate Innovation," CEPR Discussion Papers 7488, C.E.P.R. Discussion Papers.
    5. Hachem, Kinda, 2011. "Relationship lending and the transmission of monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 590-600.
    6. Paola Valbonesi & Federico Biagi, 2016. "Incentivising Innovation and Adoption of ICT: ICT Innovation Voucher Programmes," JRC Research Reports JRC104057, Joint Research Centre.
    7. Marcin Grzelak, 2019. "The Hold-up Problem and Banking Relationships: Evidence from the Polish SME Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2019(6), pages 670-687.
    8. Broz, Tanja & Ridzak, Tomislav, 2017. "Lending activity and credit supply in Croatia during the crisis," Journal of Policy Modeling, Elsevier, vol. 39(6), pages 1102-1116.
    9. Tlili, Rim, 2012. "Comment justifier la multibancarité au sein des PME ?," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10919 edited by Etner, François.
    10. Goldbach, Stefan & Nitsch, Volker, 2015. "Cutting the credit line: Evidence from Germany," Discussion Papers 25/2015, Deutsche Bundesbank.
    11. Etumudon Ndidi Asien, 2016. "Determinants of Number of Bankers by Listed Nigerian Firms," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 6(2), pages 1-13, April.
    12. Radu Cristian Mușetescu, 2012. "The Involvement Of Bankers In The Corporate Governance Of Non-Financial Firms," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 121-125, November.
    13. Holl, Dorothee & Schertler, Andrea, 2009. "Why do savings banks transform sight deposits into illiquid assets less intensively than the regulation allows?," Discussion Paper Series 2: Banking and Financial Studies 2009,05, Deutsche Bundesbank.
    14. Andrea F. Presbitero & Alberto Zazzaro, 2010. "Competition and Relationship Lending: Friends or Foes?," CESifo Working Paper Series 3103, CESifo.
    15. Storm, Servaas & Naastepad, C.W.M., 2015. "Crisis and recovery in the German economy: The real lessons," Structural Change and Economic Dynamics, Elsevier, vol. 32(C), pages 11-24.
    16. Lucie Reznakova & Svatopluk Kapounek, 2014. "Is There a Credit Crunch in the Czech Republic?," MENDELU Working Papers in Business and Economics 2014-50, Mendel University in Brno, Faculty of Business and Economics.
    17. Gajewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech, 2012. "Relacje firm z bankami w Polsce w świetle danych ze sprawozdawczości bankowej [Bank-firm relationships in Poland in the light of data from bank reporting]," MPRA Paper 42544, University Library of Munich, Germany, revised 29 Oct 2012.
    18. Nitsch, Volker & Goldbach, Stefan, 2014. "Bank Credit and Trade: Evidence from Germany," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100534, Verein für Socialpolitik / German Economic Association.
    19. Djedidi-Kooli, Salima, 2009. "L’accès au financement des PME en France : quel rôle joué par la structure du système bancaire ?," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8354 edited by Etner, François.
    20. Servaas Storm & C.W.M. Naastepad, 2015. "Crisis and Recovery in the German Economy: The Real Lessons," Working Papers Series 10, Institute for New Economic Thinking.
    21. Artur Tarassow, 2015. "Financial Investment Constraints. A Panel Threshold Application to German Firm Level Data," Macroeconomics and Finance Series 201405, University of Hamburg, Department of Socioeconomics.
    22. James Barth & Dongyun Lin & Keven Yost, 2011. "Small and Medium Enterprise Financing in Transition Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 39(1), pages 19-38, March.
    23. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    24. Ogura, Yoshiaki, 2012. "Lending competition and credit availability for new firms: Empirical study with the price cost margin in regional loan markets," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1822-1838.

  15. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.

    Cited by:

    1. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.

  16. Petr Jakubik & Christian Schmieder, 2008. "Stress Testing Credit Risk: Is the Czech Republic Different from Germany?," Working Papers 2008/9, Czech National Bank.

    Cited by:

    1. George Papadopoulos & Savas Papadopoulos & Thomas Sager, 2016. "Credit risk stress testing for EU15 banks: a model combination approach," Working Papers 203, Bank of Greece.
    2. Alena Bicakova & Zuzana Prelcova & Renata Pasalicova, 2011. "Who Borrows and Who May Not Repay?," CERGE-EI Working Papers wp443, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    3. Jakubik, Petr & Moinescu, Bogdan, 2015. "Assessing optimal credit growth for an emerging banking system," Economic Systems, Elsevier, vol. 39(4), pages 577-591.
    4. Adam Gersl & Petr Jakubik & Dorota Kowalczyk & Steven Ongena & Jose-Luis Peydro Alcalde, 2012. "Monetary Conditions and Banks' Behaviour in the Czech Republic," Working Papers 2012/02, Czech National Bank.
    5. Henrik Andersen, 2009. "Norwegian banks in a recession: Procyclical implications of Basel II," Working Paper 2009/04, Norges Bank.
    6. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
    7. Adam Gersl & Jakub Seidler, 2010. "Conservative Stress Testing: The Role of Regular Verification," Working Papers IES 2010/12, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2008.
    8. Asghar Ali & Kevin Daly, 2010. "What Explain Credit Defaults? A Comparative Study," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 51-65.
    9. Natalia Podlich & Didar Illyasov & Elena Tsoy & Shynar Shaikh, 2010. "The Methodology of Stress Tests for the Kazakh Banking System," ifo Working Paper Series 85, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    10. Noor-e-Saher & Mehran Herbert, 2010. "Response of Long-term Interest Rate to Fiscal Imbalance: Evidence from Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 6, pages 43-49.
    11. Adam Gersl & Petr Jakubik, 2010. "Procyclicality of the Financial System and Simulation of the Feedback Effect," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 110-119, Czech National Bank.
    12. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    13. Roland Beck & Petr Jakubik & Anamaria Piloiu, 2015. "Key Determinants of Non-performing Loans: New Evidence from a Global Sample," Open Economies Review, Springer, vol. 26(3), pages 525-550, July.
    14. Beck, Roland & Jakubik, Petr & Piloiu, Anamaria, 2013. "Non-performing loans: what matters in addition to the economic cycle?," Working Paper Series 1515, European Central Bank.
    15. Vasiliki Makri, 2016. "Towards an Investigation of Credit Risk Determinants in Eurozone Countries," Journal of Accounting and Management Information Systems, Faculty of Accounting and Management Information Systems, The Bucharest University of Economic Studies, vol. 15(1), pages 27-57, March.
    16. Petr Jakubík, 2011. "Household Balance Sheets and Economic Crisis," Working Papers IES 2011/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2011.
    17. Jakubik, Petr, 2011. "Households response to economic crisis," BOFIT Discussion Papers 7/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
    18. Adam Gersl & Jakub Seidler, 2010. "Stress Test Verification as Part of an Advanced Stress-Testing Framework," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2009/2010, chapter 0, pages 92-101, Czech National Bank.
    19. Natalia Nehrebecka, 2021. "COVID-19: stress-testing non-financial companies: a macroprudential perspective. The experience of Poland," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(2), pages 283-319, June.
    20. Adam Gersl & Jakub Seidler, 2012. "How to Improve the Quality of Stress Tests through Backtesting," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(4), pages 325-346, August.
    21. Bogdan-Gabriel MOINESCU, 2012. "Determinants Of Nonperforming Loans In Central And Eastern European Countries: Macroeconomic Indicators And Credit Discipline," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 47-58, December.
    22. Petr Jakubík & Petr Teplý, 2011. "The JT Index as an Indicator of Financial Stability of Corporate Sector," Prague Economic Papers, Prague University of Economics and Business, vol. 2011(2), pages 157-176.
    23. Jokivuolle, Esa & Virén, Matti, 2013. "Cyclical default and recovery in stress testing loan losses," Journal of Financial Stability, Elsevier, vol. 9(1), pages 139-149.

  17. Düllmann, Klaus & Scheicher, Martin & Schmieder, Christian, 2007. "Asset correlations and credit portfolio risk: an empirical analysis," Discussion Paper Series 2: Banking and Financial Studies 2007,13, Deutsche Bundesbank.

    Cited by:

    1. Klaus Duellmann & Martin Erdelmeier, 2009. "Crash Testing German Banks," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 139-175, September.
    2. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, University of Reading.
    3. Düllmann, Klaus & Kunisch, Michael & Küll, Jonathan, 2008. "Estimating asset correlations from stock prices or default rates: which method is superior?," Discussion Paper Series 2: Banking and Financial Studies 2008,04, Deutsche Bundesbank.
    4. Byström, Hans, 2016. "The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements," Working Papers 2016:1, Lund University, Department of Economics.
    5. Mr. Daniel C Hardy & Mr. Christian Schmieder, 2013. "Rules of Thumb for Bank Solvency Stress Testing," IMF Working Papers 2013/232, International Monetary Fund.
    6. Byström, Hans, 2017. "The currency composition of firms' balance sheets, asset value correlations, and capital requirements," Global Finance Journal, Elsevier, vol. 34(C), pages 89-99.
    7. Juselius, Mikael & Tarashev, Nikola A., 2022. "When uncertainty decouples expected and unexpected losses," Bank of Finland Research Discussion Papers 4/2022, Bank of Finland.
    8. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank.
    9. Klaus Duellmann & Jonathan Küll & Michael Kunisch, 2010. "Estimating asset correlations from stock prices or default rates - which method is superior?," Post-Print hal-00736734, HAL.
    10. Nikola Tarashev & Haibin Zhu, 2007. "Measuring portfolio credit risk: modelling versus calibration errors," BIS Quarterly Review, Bank for International Settlements, March.
    11. Chamizo, Álvaro & Fonollosa, Alexandre & Novales, Alfonso, 2019. "Forward-looking asset correlations in the estimation of economic capital," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 264-288.
    12. Duellmann, Klaus & Küll, Jonathan & Kunisch, Michael, 2010. "Estimating asset correlations from stock prices or default rates--Which method is superior?," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2341-2357, November.
    13. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June.
    14. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.
    15. Nikola A. Tarashev & Haibin Zhu, 2007. "Modelling and calibration errors in measures of portfolio credit risk," BIS Working Papers 230, Bank for International Settlements.

  18. Marsch, Katharina & Schmieder, Christian & Forster-van Aerssen, Katrin, 2007. "Banking consolidation and small businessfinance: empirical evidence for Germany," Discussion Paper Series 2: Banking and Financial Studies 2007,09, Deutsche Bundesbank.

    Cited by:

    1. Abdul, Farida & Ochenge, Rogers, 2020. "Do mergers and acquisitions impact bank lending behavior in Kenya?," KBA Centre for Research on Financial Markets and Policy Working Paper Series 45, Kenya Bankers Association (KBA).
    2. Uchino, Taisuke & Uesugi, Iichiro, 2022. "The effects of a megabank merger on firm-Bank relationships and loan availability☆," Journal of the Japanese and International Economies, Elsevier, vol. 63(C).
    3. Franz R. Hahn & Werner Hölzl, 2012. "Effects of the New Capital Requirements of Basel III on the Financing of Small and Medium-sized Enterprises in Austria," Austrian Economic Quarterly, WIFO, vol. 17(3), pages 168-186, August.
    4. Franz R. Hahn & Werner Hölzl, 2011. "Auswirkungen von Basel III auf die Finanzierung kleiner und mittlerer Unternehmen in Österreich," WIFO Studies, WIFO, number 43813, April.
    5. Robert DeYoung & Douglas Evanoff & Philip Molyneux, 2009. "Mergers and Acquisitions of Financial Institutions: A Review of the Post-2000 Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 36(2), pages 87-110, December.
    6. Abel E. Ezeoha, 2011. "Banking consolidation, credit crisis and asset quality in a fragile banking system," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 19(1), pages 33-44, February.

  19. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank.

    Cited by:

    1. Hashorva, Enkelejd, 2009. "Asymptotics for Kotz Type III elliptical distributions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 927-935, April.
    2. Hashorva, Enkelejd, 2008. "Tail asymptotic results for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 158-164, August.
    3. Emiliano Valdez, 2011. "Comments on: Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 257-262, August.

  20. Schmieder, Christian & Reinschmidt, Timo & Mager, Ferdinand & Gerke, Wolfgang, 2006. "Empirical risk analysis of pension insurance: the case of Germany," Discussion Paper Series 2: Banking and Financial Studies 2006,07, Deutsche Bundesbank.

    Cited by:

    1. Stein, Ingrid, 2011. "The price impact of lending relationships," Discussion Paper Series 2: Banking and Financial Studies 2011,04, Deutsche Bundesbank.
    2. Heusel, Nicola & Mager, Ferdinand, 2023. "Pension funding and the cross section of stock returns - The case of Germany," Journal of Banking & Finance, Elsevier, vol. 150(C).
    3. John A. Turner & David M. Rajnes & Gerard Hughes & Michelle Maher, 2020. "War and Pensions: The Effects of War on Social Security and Pensions Around the World," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(2), pages 1-45, February.
    4. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    5. Mager, Ferdinand & Schmieder, Christian, 2008. "Stress testing of real credit portfolios," Discussion Paper Series 2: Banking and Financial Studies 2008,17, Deutsche Bundesbank.

Articles

  1. Benoit Mojon & Daniel Rees & Christian Schmieder, 2021. "How much stress could Covid put on corporate credit? Evidence using sectoral data," BIS Quarterly Review, Bank for International Settlements, March.

    Cited by:

    1. Mikael Juselius & Nikola Tarashev, 2021. "Could corporate credit losses turn out higher than expected?," BIS Bulletins 46, Bank for International Settlements.
    2. Sanchez Serrano, Antonio, 2022. "From Lost Turnover to Nonperforming Loans: The Impact of the COVID-19 Pandemic on the Economy and on the Financial System," Journal of Financial Crises, Yale Program on Financial Stability (YPFS), vol. 4(3), pages 99-164, April.
    3. Alexandra Horobet & Stefania Cristina Curea & Alexandra Smedoiu Popoviciu & Cosmin-Alin Botoroga & Lucian Belascu & Dan Gabriel Dumitrescu, 2021. "Solvency Risk and Corporate Performance: A Case Study on European Retailers," JRFM, MDPI, vol. 14(11), pages 1-34, November.

  2. Cerutti, Eugenio & Schmieder, Christian, 2014. "Ring fencing and consolidated banks’ stress tests," Journal of Financial Stability, Elsevier, vol. 11(C), pages 1-12.

    Cited by:

    1. Barrell, Ray & Nahhas, Abdulkader, 2020. "The role of lender country factors in cross border bank lending," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Claessens, Stijn, 2017. "Global Banking: Recent Developments and Insights from Research," CEPR Discussion Papers 11823, C.E.P.R. Discussion Papers.
    3. Mr. Eugenio M Cerutti & Mr. Stijn Claessens, 2014. "The Great Cross-Border Bank Deleveraging: Supply Constraints and Intra-Group Frictions," IMF Working Papers 2014/180, International Monetary Fund.
    4. Anginer, Deniz & Cerutti, Eugenio & Martínez Pería, María Soledad, 2017. "Foreign bank subsidiaries' default risk during the global crisis: What factors help insulate affiliates from their parents?," Journal of Financial Intermediation, Elsevier, vol. 29(C), pages 19-31.
    5. Ferrari, Stijn & Van Roy, Patrick & Vespro, Cristina, 2021. "Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium," Journal of Financial Stability, Elsevier, vol. 52(C).
    6. Beck, Roland & Reinhardt, Dennis & Rebillard, Cyril & Ramos-Tallada, Julio & Peeters, Jolanda & Paternò, Francesco & Wörz, Julia & Beirne, John & Weissenseel, Lisa, 2015. "The side effects of national financial sector policies: framing the debate on financial protectionism," Occasional Paper Series 166, European Central Bank.
    7. Busch, Ramona & Koziol, Philipp & Mitrovic, Marc, 2018. "Many a little makes a mickle: Stress testing small and medium-sized German banks," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 237-253.

  3. Christian Schmieder & Katharina Marsch & Katrin Forster-van Aerssen, 2010. "Does banking consolidation worsen firms’ access to credit? Evidence from the German economy," Small Business Economics, Springer, vol. 35(4), pages 449-465, November.

    Cited by:

    1. Haskamp, Ulrich, 2016. "Spillovers of banking regulation: The effect of the German bank levy on the lending rates of regional banks and their local competitors," Ruhr Economic Papers 664, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    2. Haskamp, Ulrich, 2017. "Improving the forecasts of European regional banks' profitability with machine learning algorithms," Ruhr Economic Papers 705, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    3. Pavel Lebedev, 2019. "Management Accounting Maturity Levels Continuum Model: a Conceptual Framework," European Journal of Economics and Business Studies Articles, Revistia Research and Publishing, vol. 5, January -.
    4. Abel E. Ezeoha, 2011. "Banking consolidation, credit crisis and asset quality in a fragile banking system," Journal of Financial Regulation and Compliance, Emerald Group Publishing Limited, vol. 19(1), pages 33-44, February.
    5. Durmus Cagr? Yildirim & Ozlem Tosuner Unal & Ayfer Gedikli, 2015. "Financial Problems of Small and Medium-Sized Enterprises in Turkey," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 5(1), pages 27-37, January.

  4. Schmidt, Rafael & Schmieder, Christian, 2009. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 229-244, April.
    See citations under working paper version above.
  5. Wolfgang Gerke & Ferdinand Mager & Timo Reinschmidt & Christian Schmieder, 2008. "Empirical Risk Analysis of Pension Insurance: The Case of Germany," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(3), pages 763-784, September.
    See citations under working paper version above.
  6. Christian Schmieder, 2006. "European Data Watch: The Deutsche Bundesbank’s large credit database (BAKIS-M and MiMiK)," Schmollers Jahrbuch : Journal of Applied Social Science Studies / Zeitschrift für Wirtschafts- und Sozialwissenschaften, Duncker & Humblot, Berlin, vol. 126(4), pages 653-663.

    Cited by:

    1. Markus Behn & Rainer Haselmann & Vikrant Vig, 2022. "The Limits of Model‐Based Regulation," Journal of Finance, American Finance Association, vol. 77(3), pages 1635-1684, June.
    2. Alter, Adrian & Craig, Ben & Raupach, Peter, 2015. "Centrality-based capital allocations," Discussion Papers 03/2015, Deutsche Bundesbank.
    3. Craig, Ben & Ma, Yiming, 2022. "Intermediation in the interbank lending market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 179-207.
    4. Ben R. Craig & Yiming Ma, 2020. "Intermediation in the Interbank Lending Market," Working Papers 20-09, Federal Reserve Bank of Cleveland.
    5. Christoph Memmel & Angelika Sachs & Ingrid Stein, 2012. "Contagion in the Interbank Market with Stochastic Loss Given Default," International Journal of Central Banking, International Journal of Central Banking, vol. 8(3), pages 177-206, September.
    6. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    7. Goldbach, Stefan & Nitsch, Volker, 2015. "Cutting the credit line: Evidence from Germany," Discussion Papers 25/2015, Deutsche Bundesbank.
    8. Philipp Meinen & Ana Cristina Soares, 2022. "Markups and Financial Shocks," The Economic Journal, Royal Economic Society, vol. 132(647), pages 2471-2499.
    9. Berg, Tobias & Koziol, Philipp, 2017. "An analysis of the consistency of banks’ internal ratings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 27-41.

Chapters

    Sorry, no citations of chapters recorded.

Books

  1. Peter Backé & Martin Feldkircher & Ernest Gnan & Mathias Lahnsteiner & Ewald Nowotny & Jürgen Kröger & Stefan Kuhnert & Mary McCarthy & Sebastián Nieto-Parra & Javier Santiso & Stéphane Dees & Filippo, 2010. "Contagion and Spillovers: New Insights from the Crisis," SUERF Studies, SUERF - The European Money and Finance Forum, number 2010/5 edited by Peter Backé, Ernest Gnan and Philipp Hartmann, May.

    Cited by:

    1. Jarko Fidrmuc & Reiner Martin, 2011. "FDI, Trade and Growth in CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 70-89.
    2. Jarko Fidrmuc & Reiner Martin, 2011. "Capital Inflows, Exports and Growth in the CESEE Region," Chapters, in: Ewald Nowotny & Peter Mooslechner & Doris Ritzberger-Grünwald (ed.), Post-Crisis Growth and Integration in Europe, chapter 21, Edward Elgar Publishing.
    3. Ms. Katerina Smídková & Jan Babecky & Mr. Ales Bulir, 2010. "Sustainable Real Exchange Rates in the New Eu Member States: What Did the Great Recession Change?," IMF Working Papers 2010/198, International Monetary Fund.
    4. Thorsteinn Thorgeirsson & Paul van den Noord, 2013. "The Icelandic banking collapse - was the optimal policy path chosen?," Economics wp62, Department of Economics, Central bank of Iceland.
    5. Jesús Crespo Cuaresma & Martin Feldkircher, 2012. "Drivers of Output Loss during the 2008–09 Crisis: A Focus on Emerging Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 46-64.

  2. Jan Babecky & Sofia Bauducco & Ales Bulir & Martin Cihak & Petr Jakubik & Lubos Komarek & Zlata Komarkova & Jiri Podpiera & Christian Schmieder & Laurent Weill, 2009. "CNB Economic Research Bulletin: Financial and Global Stability Issues," Occasional Publications - Edited Volumes, Czech National Bank, edition 2, volume 7, number rb07/2 edited by Jan Babecky & Jan Frait, January.

    Cited by:

    1. Adam Geršl & Zlatuše Komárková, 2009. "Liquidity Risk and Banks’ Bidding Behavior: Evidence from the Global Financial Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(6), pages 577-592, December.

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