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Klaus Rheinberger

Personal Details

First Name:Klaus
Middle Name:
Last Name:Rheinberger
Suffix:
RePEc Short-ID:prh13
https://homepages.fhv.at/kr/
Fachhochschule Vorarlberg GmbH University of Applied Sciences CAMPUS V, Hochschulstraße 1 6850 Dornbirn, Austria
0043 5572 792 3811

Affiliation

Fachhochschule Vorarlberg, Forschungszentrum Energie (Fachhochschule Vorarlberg, Research Center Energy)

https://www.fhv.at/forschung/energie/
Austria, Dornbirn

Research output

as
Jump to: Working papers Articles

Working papers

  1. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2011. "Credit Risk in General Equilibrium," Working Papers 172, Oesterreichische Nationalbank (Austrian Central Bank).
  2. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to find plausible, severe, and useful stress scenarios," Working Papers 150, Oesterreichische Nationalbank (Austrian Central Bank).
  3. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.

Articles

  1. Emrah Öztürk & Klaus Rheinberger & Timm Faulwasser & Karl Worthmann & Markus Preißinger, 2022. "Aggregation of Demand-Side Flexibilities: A Comparative Study of Approximation Algorithms," Energies, MDPI, vol. 15(7), pages 1-25, March.
  2. Klaus Rheinberger & Peter Kepplinger & Markus Preißinger, 2021. "Flexibility Control in Autonomous Demand Response by Optimal Power Tracking," Energies, MDPI, vol. 14(12), pages 1-14, June.
  3. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit risk in general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
  4. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.
  5. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to Find Plausible, Severe and Useful Stress Scenarios," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 205-224, September.
  6. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2008. "Is Current Capital Regulation Based on Conservative Risk Assessment?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 15, pages 112-118.
  7. Klaus Rheinberger & Martin Summer, 2008. "Credit portfolio risk and asset price cycles," Computational Management Science, Springer, vol. 5(4), pages 337-354, October.

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. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2011. "Credit Risk in General Equilibrium," Working Papers 172, Oesterreichische Nationalbank (Austrian Central Bank).

    Cited by:

    1. Deimante Teresiene & Beatrice Gudaviciute, 2021. "Counterparty risk management framework: theoretical approach in COVID-19 environment," Technium Social Sciences Journal, Technium Science, vol. 17(1), pages 184-193, March.

  2. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to find plausible, severe, and useful stress scenarios," Working Papers 150, Oesterreichische Nationalbank (Austrian Central Bank).

    Cited by:

    1. Roman Horváth & Dan Vaško, 2013. "Central Bank Transparency and Financial Stability: Measurement, Determinants and Effects," FIW Working Paper series 113, FIW.
    2. Koziol, Philipp & Schell, Carmen & Eckhardt, Meik, 2015. "Credit risk stress testing and copulas: Is the Gaussian copula better than its reputation?," Discussion Papers 46/2015, Deutsche Bundesbank.
    3. Acharya, Viral & Engle, Robert & Pierret, Diane, 2014. "Testing macroprudential stress tests: The risk of regulatory risk weights," Journal of Monetary Economics, Elsevier, vol. 65(C), pages 36-53.
    4. Dimitrios Bisias & Mark Flood & Andrew W. Lo & Stavros Valavanis, 2012. "A Survey of Systemic Risk Analytics," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 255-296, October.
    5. Thomas Breuer & Martin Jandačka & Javier Mencía & Martin Summer, 2010. "A systematic approach to multi-period stress testing of portfolio credit risk," Working Papers 1018, Banco de España.
    6. McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
    7. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    8. 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.
    9. Dissem, Sonia & Lobez, Frederic, 2020. "Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk," Research in International Business and Finance, Elsevier, vol. 51(C).
    10. 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.
    11. Abdelaziz Rouabah & John Theal, 2010. "Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector," BCL working papers 47, Central Bank of Luxembourg.
    12. Zi-Yi Guo, 2017. "A Model of Plausible, Severe and Useful Stress Scenarios for VIX Shocks," Applied Economics and Finance, Redfame publishing, vol. 4(3), pages 155-163, May.
    13. 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.
    14. Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021. "Expecting the unexpected: economic growth under stress," Working Papers 202106, University of California at Riverside, Department of Economics.
    15. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
    16. Sahin, Cenkhan & de Haan, Jakob & Neretina, Ekaterina, 2020. "Banking stress test effects on returns and risks," Journal of Banking & Finance, Elsevier, vol. 117(C).
    17. Piotr Wdowiński, 2014. "Makroekonomiczne czynniki ryzyka kredytowego w sektorze bankowym w Polsce," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 4, pages 55-77.
    18. Michal Franta & Jozef Baruník & Roman Horváth & Katerina Smídková, 2014. "Are Bayesian Fan Charts Useful? The Effect of Zero Lower Bound and Evaluation of Financial Stability Stress Tests," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 159-188, March.
    19. Giuseppe Montesi & Giovanni Papiro & Massimiliano Fazzini & Alessandro Ronga, 2020. "Stochastic Optimization System for Bank Reverse Stress Testing," JRFM, MDPI, vol. 13(8), pages 1-44, August.
    20. Kolari, James W. & López-Iturriaga, Félix J. & Sanz, Ivan Pastor, 2019. "Predicting European bank stress tests: Survival of the fittest," Global Finance Journal, Elsevier, vol. 39(C), pages 44-57.
    21. Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    22. Giorgi, Emanuele & McNeil, Alexander J., 2016. "On the computation of multivariate scenario sets for the skew-t and generalized hyperbolic families," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 205-220.
    23. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
    24. Nan Chen & Paul Glasserman & Behzad Nouri & Markus Pelger, 2013. "CoCos, Bail-In, and Tail Risk," Working Papers 13-04, Office of Financial Research, US Department of the Treasury.
    25. Paul Glasserman & Mike Li, 2022. "Should Bank Stress Tests Be Fair?," Papers 2207.13319, arXiv.org, revised May 2023.
    26. Michel Baes & Eric Schaanning, 2023. "Reverse stress testing: Scenario design for macroprudential stress tests," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 209-256, April.
    27. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.
    28. Duellmann, Klaus & Kick, Thomas, 2012. "Stress testing German banks against a global cost-of-capital shock," Discussion Papers 04/2012, Deutsche Bundesbank.
    29. Mr. Jorge A Chan-Lau, 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing," IMF Working Papers 2017/108, International Monetary Fund.
    30. Ferrer, Alex & Casals, José & Sotoca, Sonia, 2016. "Efficient estimation of unconditional capital by Monte Carlo simulation," Finance Research Letters, Elsevier, vol. 16(C), pages 75-84.
    31. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
    32. 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.
    33. Chang Liu & Raja Nassar, 2019. "Stress Testing for Retail Mortgages Based on Probability Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 433-455, January.
    34. Levy-Carciente, Sary & Kenett, Dror Y. & Avakian, Adam & Stanley, H. Eugene & Havlin, Shlomo, 2015. "Dynamical macroprudential stress testing using network theory," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 164-181.
    35. Siregar, Reza & Lim, Vincent C.S., 2011. "Living with Macro-financial Linkages: Policy Perspectives and Challenges for SEACEN Countries," MPRA Paper 28417, University Library of Munich, Germany.
    36. Bonucchi, Manuel & Catalano, Michele, 2022. "How severe are the EBA macroeconomic scenarios for the Italian Economy? A joint probability approach," Journal of International Money and Finance, Elsevier, vol. 129(C).
    37. Jiri Panos & Petr Polak, 2019. "How to Improve the Model Selection Procedure in a Stress-testing Framework," Working Papers 2019/9, Czech National Bank.
    38. Matthew Pritsker, 2017. "Choosing Stress Scenarios for Systemic Risk Through Dimension Reduction," Supervisory Research and Analysis Working Papers RPA 17-4, Federal Reserve Bank of Boston.
    39. Michal Franta & Jozef Barunik & Roman Horvath & Katerina Smidkova, 2011. "Are Bayesian Fan Charts Useful for Central Banks? Uncertainty, Forecasting, and Financial Stability Stress Tests," Working Papers 2011/10, Czech National Bank.
    40. Breuer, Thomas & Csiszár, Imre, 2013. "Systematic stress tests with entropic plausibility constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1552-1559.
    41. Majumder, Debasish, 2023. "Subjectivity in conventional tail measures: An exploratory model with 'risks & biases’," Finance Research Letters, Elsevier, vol. 55(PB).
    42. Paul Glasserman & Chulmin Kang & Wanmo Kang, 2013. "Stress Scenario Selection by Empirical Likelihood," Working Papers 13-07, Office of Financial Research, US Department of the Treasury.
    43. Klaus Düllmann & Thomas Kick, 2014. "Stress testing German banks against a global credit crunch," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(4), pages 337-361, November.
    44. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    45. Dror Y. Kenett & Sary Levy-Carciente & Adam Avakian & H. Eugene Stanley & Shlomo Havlin, 2015. "Dynamical Macroprudential Stress Testing Using Network Theory," Working Papers 15-12, Office of Financial Research, US Department of the Treasury.
    46. Cristófoli, María Elizabeth & García Fronti, Javier, 2019. "Macroeconomic Reverse Stress Testing: An Early-Warning System for Spanish Banking Regulators. Analysis Based on the 2008 Global Financial Crisis / Prueba de resistencia inversa Macroeconómica: una pru," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 9(2), pages 181-204, julio-dic.
    47. Dina Manolache Aurora Elena, 2019. "Stress and scenario tests in the context of a Romanian non-life insurance company," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 13(1), pages 149-161, May.
    48. Rick Bookstaber & Jill Cetina & Greg Feldberg & Mark Flood & Paul Glasserman, 2013. "Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future," Working Papers 13-10, Office of Financial Research, US Department of the Treasury.
    49. Azamat Abdymomunov & Sharon Blei & Bakhodir Ergashev, 2015. "Integrating Stress Scenarios into Risk Quantification Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(1), pages 57-79, February.
    50. 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.
    51. Takaaki Koike & Marius Hofert, 2020. "Modality for Scenario Analysis and Maximum Likelihood Allocation," Papers 2005.02950, arXiv.org, revised Nov 2020.
    52. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
    53. De Genaro, Alan, 2016. "Systematic multi-period stress scenarios with an application to CCP risk management," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 119-134.
    54. Alejandro Ferrer Pérez & José Casals Carro & Sonia Sotoca López, 2014. "Linking the problems of estimating and allocating unconditional capital," Documentos de Trabajo del ICAE 2014-13, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    55. 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.
    56. 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.
    57. Pritsker, Matt, 2019. "An overview of regulatory stress-testing and steps to improve it," Global Finance Journal, Elsevier, vol. 39(C), pages 39-43.
    58. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    59. Pascal Traccucci & Luc Dumontier & Guillaume Garchery & Benjamin Jacot, 2019. "A Triptych Approach for Reverse Stress Testing of Complex Portfolios," Papers 1906.11186, arXiv.org.
    60. Mokinski, Frieder, 2017. "A severity function approach to scenario selection," Discussion Papers 34/2017, Deutsche Bundesbank.
    61. Krishan Mohan Nagpal, 2017. "Designing stress scenarios for portfolios," Risk Management, Palgrave Macmillan, vol. 19(4), pages 323-349, November.
    62. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
    63. Reza Siregar & Lim C.S. Vincent & Victor Pontines, 2011. "Post Global Financial Crisis: Issues and Challenges for Central Banks of Emerging Markets," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp80.
    64. Pavel Kapinos & Oscar A. Mitnik, 2016. "A Top-down Approach to Stress-testing Banks," Journal of Financial Services Research, Springer;Western Finance Association, vol. 49(2), pages 229-264, June.
    65. 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.
    66. Scholz, Roland W. & Czichos, Reiner & Parycek, Peter & Lampoltshammer, Thomas J., 2020. "Organizational vulnerability of digital threats: A first validation of an assessment method," European Journal of Operational Research, Elsevier, vol. 282(2), pages 627-643.
    67. Mr. Dimitri G Demekas, 2015. "Designing Effective Macroprudential Stress Tests: Progress So Far and the Way Forward," IMF Working Papers 2015/146, International Monetary Fund.

  3. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2008. "Regulatory capital for market and credit risk interaction: is current regulation always conservative?," Discussion Paper Series 2: Banking and Financial Studies 2008,14, Deutsche Bundesbank.

    Cited by:

    1. Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
    2. Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020. "Variability in risk-weighted assets: what does the market think?," BIS Working Papers 844, Bank for International Settlements.
    3. Sokolov, Yuri, 2009. "Interaction between market and credit risk: Focus on the endogeneity of aggregate risk," MPRA Paper 18245, University Library of Munich, Germany.
    4. Jianping Li & Jichuang Feng & Xiaolei Sun & Minglu Li, 2012. "Risk Integration Mechanisms And Approaches In Banking Industry," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 11(06), pages 1183-1213.
    5. Miloš Božović & Branko Urošević & Boško Živković, 2009. "On The Spillover Of Exchangerate Risk Into Default Risk," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 54(183), pages 32-55, October -.

Articles

  1. Emrah Öztürk & Klaus Rheinberger & Timm Faulwasser & Karl Worthmann & Markus Preißinger, 2022. "Aggregation of Demand-Side Flexibilities: A Comparative Study of Approximation Algorithms," Energies, MDPI, vol. 15(7), pages 1-25, March.

    Cited by:

    1. Seung-Jun Hahm & Ye-Eun Jang & Young-Jin Kim, 2022. "Virtual Battery Modeling of Air Conditioning Loads in the Presence of Unknown Heat Disturbances," Energies, MDPI, vol. 15(24), pages 1-15, December.
    2. Georgios Papazoglou & Pandelis Biskas, 2022. "Review of Methodologies for the Assessment of Feasible Operating Regions at the TSO–DSO Interface," Energies, MDPI, vol. 15(14), pages 1-24, July.
    3. Kabulo Loji & Sachin Sharma & Nomhle Loji & Gulshan Sharma & Pitshou N. Bokoro, 2023. "Operational Issues of Contemporary Distribution Systems: A Review on Recent and Emerging Concerns," Energies, MDPI, vol. 16(4), pages 1-21, February.

  2. Klaus Rheinberger & Peter Kepplinger & Markus Preißinger, 2021. "Flexibility Control in Autonomous Demand Response by Optimal Power Tracking," Energies, MDPI, vol. 14(12), pages 1-14, June.

    Cited by:

    1. József Vásárhelyi & Omar M. Salih & Hussam Mahmod Rostum & Rabab Benotsname, 2023. "An Overview of Energies Problems in Robotic Systems," Energies, MDPI, vol. 16(24), pages 1-24, December.

  3. Jürgen Eichberger & Klaus Rheinberger & Martin Summer, 2014. "Credit risk in general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 57(2), pages 407-435, October.
    See citations under working paper version above.
  4. Breuer, Thomas & Jandacka, Martin & Rheinberger, Klaus & Summer, Martin, 2010. "Does adding up of economic capital for market- and credit risk amount to conservative risk assessment?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 703-712, April.

    Cited by:

    1. Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
    2. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
    3. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
    4. Buch, Arne & Dorfleitner, Gregor & Wimmer, Maximilian, 2011. "Risk capital allocation for RORAC optimization," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3001-3009, November.
    5. Paulusch, Joachim & Schlütter, Sebastian, 2022. "Sensitivity-implied tail-correlation matrices," Journal of Banking & Finance, Elsevier, vol. 134(C).
    6. Grundke, Peter & Pliszka, Kamil, 2015. "A macroeconomic reverse stress test," Discussion Papers 30/2015, Deutsche Bundesbank.
    7. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
    8. Szybisz, Martin Andres, 2019. "Interactions between Credit and Market Risk, Diversification vs Compounding effects," MPRA Paper 93173, University Library of Munich, Germany.
    9. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    10. Wei, Lu & Li, Guowen & Li, Jianping & Zhu, Xiaoqian, 2019. "Bank risk aggregation with forward-looking textual risk disclosures," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    11. Božović, Miloš & Ivanović, Jelena, 2017. "Adverse risk interaction: An integrated approach," Economic Modelling, Elsevier, vol. 65(C), pages 67-74.
    12. Jianping Li & Xiaoqian Zhu & Cheng-Few Lee & Dengsheng Wu & Jichuang Feng & Yong Shi, 2015. "On the aggregation of credit, market and operational risks," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 161-189, January.
    13. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
    14. Zhu, Xiaoqian & Wei, Lu & Li, Jianping, 2021. "A two-stage general approach to aggregate multiple bank risks," Finance Research Letters, Elsevier, vol. 40(C).
    15. Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
    16. Raupach, Peter, 2015. "Calculating trading book capital: Is risk separation appropriate?," Discussion Papers 19/2015, Deutsche Bundesbank.
    17. Aggarwal, Raj & Goodell, John W., 2011. "International variations in expected equity premia: Role of financial architecture and governance," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3090-3100, November.
    18. Zhao, Hongbiao, 2011. "Portfolio credit risk of default and spread widening," LSE Research Online Documents on Economics 43451, London School of Economics and Political Science, LSE Library.
    19. Kang, Woo-Young & Poshakwale, Sunil, 2019. "A new approach to optimal capital allocation for RORAC maximization in banks," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 153-165.
    20. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
    21. Krebs, Martin & Nippel, Peter, 2021. "Unexpected loss, expected profit, and economic capital: A note on economic capital for credit risk incorporating interest income, expenses, losses, and ROE target," Finance Research Letters, Elsevier, vol. 38(C).
    22. Tarunika Jain Agrawal & Sanjay Sehgal, 2018. "Dynamic Interaction of Bank Risk Exposures: An Empirical Study for the Indian Banking Industry," IIM Kozhikode Society & Management Review, , vol. 7(2), pages 132-153, July.

  5. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2009. "How to Find Plausible, Severe and Useful Stress Scenarios," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 205-224, September.
    See citations under working paper version above.
  6. Thomas Breuer & Martin Jandacka & Klaus Rheinberger & Martin Summer, 2008. "Is Current Capital Regulation Based on Conservative Risk Assessment?," Financial Stability Report, Oesterreichische Nationalbank (Austrian Central Bank), issue 15, pages 112-118.

    Cited by:

    1. Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
    2. Edson Bastos e Santos & Neil Esho & Marc Farag & Christopher Zuin, 2020. "Variability in risk-weighted assets: what does the market think?," BIS Working Papers 844, Bank for International Settlements.
    3. Sokolov, Yuri, 2009. "Interaction between market and credit risk: Focus on the endogeneity of aggregate risk," MPRA Paper 18245, University Library of Munich, Germany.
    4. Miloš Božović & Branko Urošević & Boško Živković, 2009. "On The Spillover Of Exchangerate Risk Into Default Risk," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 54(183), pages 32-55, October -.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (4) 2008-07-20 2009-03-14 2011-10-22 2012-11-11
  2. NEP-RMG: Risk Management (3) 2009-03-14 2011-10-22 2012-11-11
  3. NEP-REG: Regulation (2) 2008-07-20 2009-03-14
  4. NEP-CBA: Central Banking (1) 2011-10-22
  5. NEP-CIS: Confederation of Independent States (1) 2011-10-22

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