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March 2014

Calibration of the Simplified Supervisory Formula Approach

February 2014

Reducing the Reliance of Securitisation Capital on Agency Ratings

January 2014

Covered Bond versus ABS Liquidity

September 2013

Granularity, Heterogeneity and Securitisation Capital

September 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

June 2013

The Simplified Arbitrage-Free Approach

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April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

European Central Bank at sunset

November 2012

Top Down Stress Testing for Bank Financial Statements: A Case Study

September 2010

Bank Liquidity Standards: A Microeconomic Analysis

New York Stock Exchange, Wall St.

May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods

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May 2008

Dynamic Default Rates

March 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations