Natalia Puzanova

Deutsche Bundesbank

Wilhelm-Epstein-Str. 14

Frankfurt/Main, 60431

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

128

SSRN CITATIONS
Rank 32,751

SSRN RANKINGS

Top 32,751

in Total Papers Citations

10

CROSSREF CITATIONS

15

Scholarly Papers (4)

1.

Systemic Risk Contributions: A Credit Portfolio Approach

Bundesbank Series 2 Discussion Paper No. 2011,08
Number of pages: 56 Posted: 08 Jun 2016
Klaus Duellmann and Natalia Puzanova
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 51 (509,837)
Citation 3

Abstract:

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systemic risk contributions, systemic capital charge, expected shortfall, importance sampling, granularity adjustment

2.

Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration Options

ESRB: Occasional Paper Series No. 2014/5
Number of pages: 95 Posted: 05 Nov 2020
European Central Bank (ECB), ESRB Secretariat, affiliation not provided to SSRN, Banco de Portugal, European Central Bank (ECB), Banco de EspaƱa, affiliation not provided to SSRN, affiliation not provided to SSRN, Bank of England, affiliation not provided to SSRN, De Nederlandsche Bank - Monetary and Economic Policy Department, European Central Bank (ECB), European Central Bank (ECB), Deutsche Bundesbank and European Central Bank
Downloads 35 (587,710)
Citation 10

Abstract:

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banking regulation, countercyclical capital buffer, systemic risk

3.

A Hierarchical Archimedean Copula for Portfolio Credit Risk Modelling

Bundesbank Series 2 Discussion Paper No. 2011,14
Number of pages: 40 Posted: 08 Jun 2016
Natalia Puzanova
Deutsche Bundesbank
Downloads 31 (610,632)

Abstract:

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portfolio credit risk, nested Archimedean copula, tail dependence, hierarchical dependence structure

4.

A Hierarchical Model of Tail Dependent Asset Returns for Assessing Portfolio Credit Risk

Bundesbank Series 2 Discussion Paper No. 2011,16
Number of pages: 56 Posted: 08 Jun 2016
Natalia Puzanova
Deutsche Bundesbank
Downloads 11 (759,753)

Abstract:

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Portfolio Credit Risk, Stochastic Time Change, Brownian Subordination, Jumps, Tail Dependence, Hierarchical Dependence Structure