Manuel Mayer

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

SCHOLARLY PAPERS

5

DOWNLOADS

1,245

SSRN CITATIONS

0

CROSSREF CITATIONS

6

Scholarly Papers (5)

1.

A Structural View of Sovereign Risk Contagion in the Euro Zone

Number of pages: 32 Posted: 07 Feb 2012 Last Revised: 28 May 2013
Manuel Mayer
Oesterreichische Nationalbank (OeNB)
Downloads 345 (125,184)

Abstract:

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Sovereign Debt, Credit Risk, Credit Default Swap, European Debt Crisis, Structural Model

2.

Sovereign Credit Risk and Banking Crises

Number of pages: 57 Posted: 23 Mar 2011 Last Revised: 21 May 2013
Manuel Mayer
Oesterreichische Nationalbank (OeNB)
Downloads 330 (131,342)
Citation 2

Abstract:

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Sovereign Debt, Credit Risk, Jump Diffusion, Endogenous Default, Jump Risk, Banking Crisis

3.

Sovereign Bond Risk Premiums

Number of pages: 53 Posted: 09 Jun 2013
WU Vienna University of Economics and Business (deceased), Oesterreichische Nationalbank (OeNB) and Vienna University of Economics and Business
Downloads 310 (140,269)
Citation 4

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Bond risk premiums, market and credit risk factors, financial repression

4.

Forward Bias Trading in Emerging Markets

Number of pages: 24 Posted: 26 Jul 2010 Last Revised: 14 Dec 2011
Manuel Mayer
Oesterreichische Nationalbank (OeNB)
Downloads 179 (237,214)
Citation 1

Abstract:

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Exchange Rates, Forward Bias, Limits to Speculation, Trading Strategies, Emerging Market Currencies

5.

Advances in Multivariate Back-testing for Credit Risk Underestimation

ECB Working Paper No. 1885
Number of pages: 35 Posted: 05 Jul 2016
National Bank of Belgium, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 81 (419,818)

Abstract:

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credit ratings, probability of default, back-testing, one-sided