Carlos Bernadell

European Central Bank - Risk Management Division

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

2

DOWNLOADS

863

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Yield Curve Prediction for the Strategic Investor

ECB Working Paper No. 472
Number of pages: 32 Posted: 28 May 2005
Carlos Bernadell, Joachim Coche and Ken Nyholm
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 753 (35,576)

Abstract:

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Regime switching, scenario analysis, yield curve distributions, state space model

2.

A Factor Risk Model with Reference Returns for the Us Dollar and Japanese Yen Bond Markets

ECB Working Paper No. 641
Number of pages: 36 Posted: 30 Jun 2006
Carlos Bernadell, Joachim Coche and Ken Nyholm
European Central Bank - Risk Management Division, European Central Bank - Risk Management Division and European Central Bank (ECB)
Downloads 110 (268,830)

Abstract:

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Regime switching, scenario analysis, factor risk model