Kamil Pliszka

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

195

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

A Macroeconomic Reverse Stress Test

Bundesbank Discussion Paper No. 30/2015
Number of pages: 40 Posted: 21 Jun 2016
Peter Grundke and Kamil Pliszka
University Osnabrück, Chair of Banking and Finance and Deutsche Bundesbank
Downloads 91 (281,714)

Abstract:

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copula functions, extreme value theory, principal component analysis, reverse stress testing

2.

What are the Real Effects of Financial Market Liquidity? Evidence on Bank Lending from the Euro Area

Deutsche Bundesbank Discussion Paper No. 34/2018
Number of pages: 56 Posted: 17 Sep 2018 Last Revised: 21 Feb 2019
Deutsche Bundesbank, Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank
Downloads 37 (436,603)

Abstract:

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financial markets, bank lending, liquidity risk

3.

Euro Area Banks' Interest Rate Risk Exposure to Level, Slope and Curvature Swings in the Yield Curve

Bundesbank Discussion Paper No. 24/2017
Number of pages: 51 Posted: 07 Sep 2017
Deutsche Bundesbank, University of Freiburg, Institute for Economic Research, University of Freiburg and Deutsche Bundesbank
Downloads 27 (482,510)

Abstract:

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Bayesian DCC M-GARCH model, interest rate risk, maturity transformation, swings in the yield curve

4.

The Time-Varying Impact of Systematic Risk Factors on Corporate Bond Spreads

Deutsche Bundesbank Discussion Paper No. 14/2018
Number of pages: 35 Posted: 20 Aug 2018 Last Revised: 21 Feb 2019
Arne Klein and Kamil Pliszka
University of Muenster and Deutsche Bundesbank
Downloads 21 (516,159)

Abstract:

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asset pricing, banking regulation, Bayesian model averaging, credit spreads, European bond market, Markov switching

5.

Model and Estimation Risk in Credit Risk Stress Tests

Deutsche Bundesbank Discussion Paper No. 09/2019
Number of pages: 44 Posted: 11 Apr 2019
Peter Grundke, Kamil Pliszka and Michael Tuchscherer
University Osnabrück, Chair of Banking and Finance, Deutsche Bundesbank and University of Osnabrück
Downloads 19 (527,889)

Abstract:

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credit risk, default probability, estimation risk, model risk, stress tests