Natalia Tente

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

1,185

SSRN CITATIONS

0

CROSSREF CITATIONS

7

Scholarly Papers (8)

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 382 (110,067)
Citation 2

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Systemic Risk, Financial Crises, Financial Regulation

2.

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 204 (208,170)

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Systemic Risk, Financial Crises, Financial Regulation

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 202 (210,039)
Citation 5

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Systemic Risk, Financial Crises, Financial Regulation

4.

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 173 (240,460)
Citation 1

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

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 63 (472,755)
Citation 2

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

6.

Shock Amplification in an Interconnected Financial System of Banks and Investment Funds

ECB Working Paper No. 2021/2581
Number of pages: 66 Posted: 10 Aug 2021
European Central Bank (ECB), Banque de France, Bank of England, European Central Bank (ECB), Bank of Italy, Central Bank of Ireland, European Central Bank (ECB), Banque Centrale du Luxembourg, WU Vienna University of Economics and Business, European Central Bank (ECB), Goethe University Frankfurt, European Central Bank (ECB), Bank of Greece, European Central Bank (ECB), European Central Bank (ECB), Banque de FranceParis School of Economics (PSE), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 59 (488,103)

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7.

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 55 (504,013)

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

8.

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 47 (539,089)

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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: 58
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 58

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