Wilhelm-Epstein-Str. 14
Frankfurt/Main, 60431
Germany
Deutsche Bundesbank
copula functions, extreme value theory, principal component analysis, reverse stress testing
financial markets, bank lending, liquidity risk
Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve
credit risk, default probability, estimation risk, model risk, stress tests
asset pricing, banking regulation, Bayesian model averaging, credit spreads, European bond market, Markov switching