Austrian National Bank - Economic Studies Division
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Credit Default Swap, Value at Risk, Structural Credit Risk Models
Credit default swap, Value at Risk, Capital structure arbitrage
Financial returns volatility, predictability, forecasting, interval forecast evaluation, density forecast evaluation
ARCH, GARCH, hypothesis testing
Banks, credit risk, credit default swap, financial crisis, loss given default, risk premium
Interest Rate Pass-Through, Relationship Banking, Conditional Volatility
Density forecasting, Forecast evaluation, Risk management, GARCH-models
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C12, C14, C22, C52, ARCH, GARCH, bootstrap, Monte Carlo tests, distributional assumptions
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