Natalia Tente

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

7

DOWNLOADS
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in Total Papers Downloads

900

CITATIONS

0

Scholarly Papers (7)

1.

European Banking Union C: Cross-Border Resolution–Fortis Group

Yale Program on Financial Stability Case Study 2014-5C-V1
Number of pages: 20 Posted: 14 Mar 2015
Rosalind Wiggins, Natalia Tente and Andrew Metrick
Yale Program on Financial Stability, Deutsche Bundesbank and Yale School of Management
Downloads 293 (101,453)

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Systemic Risk, Financial Crises, Financial Regulation

2.

Systemic Risk Contributions: A Credit Portfolio Approach

Number of pages: 31 Posted: 11 Nov 2011
Natalia Tente and Klaus Duellmann
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 167 (175,315)

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systemic risk, systemic risk contributions, systemic capital charge, expected shortfall, importance sampling

3.

European Banking Union D: Cross-Border Resolution — Dexia Group

Yale Program on Financial Stability Case Study 2014-5D-V1
Number of pages: 15 Posted: 14 Mar 2015
Rosalind Wiggins, Natalia Tente and Andrew Metrick
Yale Program on Financial Stability, Deutsche Bundesbank and Yale School of Management
Downloads 152 (189,846)

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Systemic Risk, Financial Crises, Financial Regulation

4.

Basel III D: Swiss Finish to Basel III

Yale Program on Financial Stability Case Study 2014-1D-V1
Number of pages: 10 Posted: 14 Mar 2015
Christian McNamara, Natalia Tente and Andrew Metrick
Yale University - Yale Program on Financial Stability, Deutsche Bundesbank and Yale School of Management
Downloads 150 (191,922)

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Systemic Risk, Financial Crises, Financial Regulation

5.

A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling

Natalia Puzanova. A hierarchical Archimedean copula for portfolio credit risk modelling. Deutsche Bundesbank Discussion Paper, Series 2: Banking and Financial Studies, No 14/2011.
Number of pages: 22 Posted: 28 Sep 2011 Last Revised: 05 Sep 2012
Natalia Tente
Deutsche Bundesbank
Downloads 58 (355,991)

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Portfolio Credit Risk, Nested Archimedean Copula, Tail Dependence, Hierarchical Dependence Structure

6.

A Hierarchical Model of Tail-Dependent Asset Returns

Credit Securitisations and Derivatives, D. Rösch and H. Scheule, eds, John Wiley & Sons Inc, 2013.
Number of pages: 45 Posted: 15 Dec 2011 Last Revised: 01 Dec 2012
Natalia Tente
Deutsche Bundesbank
Downloads 53 (371,410)

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Portfolio Credit Risk, Stochastic Time Change, Brownian Subordination, Jumps, Tail Dependence, Hierarchical Dependence Structure

7.

M-Press-CreditRisk: A Holistic Micro- and Macroprudential Approach to Capital Requirements

Bundesbank Discussion Paper No. 15/2017
Number of pages: 60 Posted: 27 Jun 2017
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 27 (473,156)

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Systemic Credit Risk, Tail Risk, Stress Testing, Microprudential Capital Requirements, Systemic Risk Buffer, O-SII Buffer, Hierarchical Archimedean Copula

Other Papers (1)

Total Downloads: 55    Citations: 0
1.

Systemic Risk Contributions: A Credit Portfolio Approach

Systemic Risk, Basel III, Financial Stability and Regulation 2011
Number of pages: 38 Posted: 01 Mar 2011 Last Revised: 11 Nov 2011
Natalia Tente and Klaus Duellmann
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 55

Abstract:

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Systemic Risk Contribution, Systemic Capital Charge, Expected Shortfall, Importance Sampling, Granularity Adjustment