Juliusz Jablecki

National Bank of Poland

Poland

SCHOLARLY PAPERS

9

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1,106

SSRN CITATIONS
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Top 43,733

in Total Papers Citations

2

CROSSREF CITATIONS

14

Scholarly Papers (9)

1.

The Impact of Basel I Capital Requirements on Bank Behavior And the Efficacy of Monetary Policy

International Journal of Economic Sciences and Applied Research, Vol. 2, No. 1, pp. 16-35, 2009
Number of pages: 20 Posted: 17 Dec 2009
Juliusz Jablecki
National Bank of Poland
Downloads 669 (47,670)

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Basel Accord, Capital Ratios, Bank Regulation, Monetary Policy

2.

The Optimal Width of the Central Bank Standing Facilities Corridor and Banks' Day - to - Day Liquidity Management

ECB Working Paper No. 1350
Number of pages: 37 Posted: 07 Jun 2011
Ulrich Bindseil and Juliusz Jablecki
European Central Bank (ECB) and National Bank of Poland
Downloads 147 (240,737)
Citation 2

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standing facilities, money market, liquidity management

3.

A Structural Model of Central Bank Operations and Bank Intermediation

ECB Working Paper No. 1312
Number of pages: 36 Posted: 06 Apr 2011
Ulrich Bindseil and Juliusz Jablecki
European Central Bank (ECB) and National Bank of Poland
Downloads 105 (308,791)

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bank intermediation, central bank operations, standing facilities, central bank crisis measures

4.

A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk

National bank of Poland Working Paper No. 150
Number of pages: 27 Posted: 13 May 2013 Last Revised: 08 Jul 2016
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 60 (427,433)

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default correlation, counterparty risk, reduced form models

5.

Estimating the Risk of Joint Defaults: An Application to Central Bank Collateralized Lending Operations

Number of pages: 36 Posted: 19 Aug 2015
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 45 (485,202)

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joint defaults, collateralized lending, residual credit risk

6.

Estimating the Risk of Joint Defaults: An Application to Central Bank Collateralized Lending Operations

NBP Working Paper No. 181
Number of pages: 36 Posted: 11 Feb 2017
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 42 (498,388)
Citation 1

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joint defaults, collateralized lending, residual credit risk

7.

Negative Bond Term Premia - A New Challenge for Polish Conventional Monetary Policy

BIS Paper No. 89t
Number of pages: 13 Posted: 03 Dec 2016
Juliusz Jablecki, Andrzej Raczko and Grzegorz Wesolowski
National Bank of Poland, National Bank of Poland and National Bank of Poland
Downloads 29 (564,134)

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Monetary policy independence, small open economy, term premium

8.

A Nonparametric Local Volatility Model for Swaptions Smile

Journal of Computational Finance, Forthcoming
Number of pages: 28 Posted: 25 Aug 2017
Dariusz Gatarek and Juliusz Jablecki
Polish Academy of Sciences and National Bank of Poland
Downloads 5 (733,858)
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Cheyette model, local volatility, swaptions, smile, calibration

9.

Bermudan Swaption Model Risk Analysis: A Local Volatility Approach

Journal of Computational Finance, Forthcoming
Number of pages: 31 Posted: 31 Aug 2018
Juliusz Jablecki
National Bank of Poland
Downloads 4 (741,644)
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Bermudan swaptions, local volatility, Cheyette model, model risk, exercise deferral premium