Martin Puhl

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

SCHOLARLY PAPERS

2

DOWNLOADS

133

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Uncertainty Premia for Small and Large Risks

Number of pages: 74 Posted: 24 Apr 2015 Last Revised: 04 May 2021
Oesterreichische Nationalbank (OeNB), DePaul University - Kellstadt Graduate School of Business and University of Oxford - Said Business School
Downloads 123 (282,803)
Citation 1

Abstract:

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Uncertainty, price of risk, risk aversion, ambiguity aversion, options

Sovereign Bond-Backed Securities: A VAR-for-VaR and Marginal Expected Shortfall Assessment

ESRB: Working Paper Series No. 2018/65
Number of pages: 50 Posted: 05 Nov 2020
National Bank of Belgium - Research Department, Central Bank of Ireland, Oesterreichische Nationalbank (OeNB) and Österreichische Nationalbank
Downloads 10 (739,739)

Abstract:

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CAViaR, co-dependence, safe assets, sovereign bonds, spillover, value-at-risk