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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision
Portfolio credit risk measurement, stress testing, macroeconomic shock measurement
Bank stock return predictability, return decomposition, panel VAR estimation, cash flow news
climate finance, investment funds, stress testing, systemic risk
FX return prediction, investor flows, news surprises, panel estimation, stationary VAR
House price, housing rental yield, return decomposition, panel VAR estimation, cash flow news
Bayesian model averaging, international capital flows, investment funds, portfolio valuation, prudential policy
fire sales, indirect contagion, overlapping portfolios, price impact, quantile regression