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Martin Jandacka

Vorarlberg University of Applied Sciences

13

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289

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Endogenous Leverage and Asset Pricing in Double Auctions

2015 Journal of Economic Dynamics and Control
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A Systematic Approach to Multi-Period Stress Testing of Portfolio Credit Risk

2012 Journal of Banking and Finance
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A systematic approach to multi-period stress testing of portfolio credit risk.

2012 Journal of Banking and Finance
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How to find plausible, severe, and useful stress scenarios

2009 International Journal of Central Banking
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Regulatory Capital for Market and Credit Risk Interaction: Is Current Regulation Always Conservative?

2008
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Regulatory capital for market and credit risk interaction: is current regulation always conservative?

2008
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Macroeconomic Stress and Worst Case Analysis of Loan Portfolios

2008
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Portfolio selection with transaction costs under expected shortfall constraints

2008 Computational Management Science
- Thomas Breuer
- Martin Jandacka
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Is Current Capital Regulation Based on Conservative Risk Assessment

2008 Financial Stability Report
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Temporal Aggregation of GARCH Models: Conditional Kurtosis and Optimal Frequency

2008
- Thomas Breuer
- Martin Jandacka
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Citations (5)