Calendar
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Michael B. Gordy (Federal Reserve Board) – Spectral backtests of forecast distributions with application to risk management
11:00 a.m., OeNB, Garnisongasse 15, 1090 ViennaWe study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level.
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Jan Hannes Lang (ECB) – Semi-structural credit gap estimation
11:00 a.m., Oesterreichische Nationalbank, Otto-Wagner-Platz 3, 1090 ViennaThis paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived.
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Green finance, regulation and monetary policy
09:00 a.m., OeNB, Otto-Wagner-Platz 3, 1090 ViennaSUERF / WU / OeNB Conference
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Imre Kondor (Complexity Science Hub Vienna) – Regularized portfolio selection
11:00 a.m., OeNB, Otto-Wagner-Platz 3, 1090 WienVOSTA-Seminar
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Martin Gonzalez Eiras (University of Copenhagen) - Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions
11:00 a.m., Oesterr. Nationalbank, Otto-Wagner-Platz 3, 1090 ViennaWe use bid data from Argentinian Treasury bill auctions from 1996 to 2000 to study how banks’ balance sheet and past performance affect bidding behavior.
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82nd East Jour Fixe of the Oesterreichische Nationalbank
9.00 a.m. - 13.00 p.m., Oeterreichische Nationalbank, Otto-Wagner-Platz 3, 1090 WienDebt in Central, Eastern and Southeastern Europe: vulnerabilities and opportunities
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