Stefan Kerbl

Oesterreichische Nationalbank (OeNB)

Otto-Wagner-Platz 3, PO Box 61

Vienna,

1010 Vienna, A-1011

Austria

  • Oesterreichische Nationalbank (OeNB)

SCHOLARLY PAPERS

4

DOWNLOADS

915

TOTAL CITATIONS

8

Scholarly Papers (4)

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1.

Negative Interest Rates: Forecasting Banks' Profitability in a New Environment

Number of pages: 21 Posted: 24 Aug 2017
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 454 (138,250)
Citation 6

Abstract:

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bank profitability, low interest rate environment, negative interest rate environment, net interest margin, panel econometrics, ARIMA models

2.

Can Bank-Specific Variables Predict Contagion Effects?

Quantitative Finance 17(12):1805-1832
Number of pages: 47 Posted: 10 Feb 2016 Last Revised: 24 Jun 2018
Christoph Siebenbrunner, Michael Sigmund and Stefan Kerbl
University of Oxford - Mathematical Institute, Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 206 (318,846)
Citation 2

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systemic risk, financial stability, financial contagion

3.

What Drives Aggregate Credit Risk?

Oesterreichische Nationalbank Financial Stability Report, Vol. 22, December 2011
Number of pages: 16 Posted: 10 May 2012
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 146 (431,947)

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credit risk, unobserved component models, state space, Kalman filter, stress testing

4.

Quantifying Cyclicality of Regulatory Capital - First Evidence from Austria

Oesterreichische Nationalbank Financial Stability Report, Vol. 18, December 2009
Number of pages: 11 Posted: 18 Dec 2009 Last Revised: 06 Feb 2010
Stefan Kerbl and Michael Sigmund
Oesterreichische Nationalbank (OeNB) and Oesterreichische Nationalbank (OeNB)
Downloads 109 (542,660)

Abstract:

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Basel accord, procyclicality, business cycles