Search Results - "Dimitrios Laliotis"

eBook

Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective

by Mindaugas Leika Marco Gross Mr.Marco Gross Dimitrios Laliotis Pavel Lukyantsau Dimitrios Laliotis Mindaugas Leika Pavel Lukyantsa
03.07.2020

“...The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite...”

Fulltext

Journal Article

An agent-based model for the assessment of LTV caps

by Laliotis, Dimitrios Buesa, Alejandro Leber, Miha Población, Javier Published in Quantitative finance (02.10.2020)

“...We assess the effects of regulatory caps in the loan-to-value (LTV) ratio for housing mortgages using an agent-based model. Sellers, buyers and banks interact...”

Journal Article

A Liquidity Shortfall Analysis Framework for the European Banking Sector

by Georgescu, Oana-Maria Laliotis, Dimitrios Leber, Miha Población, Javier Published in Mathematics (Basel) (13.05.2020)

“...This paper presents an analytical framework for the identification of vulnerabilities arising from the liquidity and funding profile of banks. It is composed...”

Fulltext

Publication

Expected credit loss modeling from a top-down stress testing perspective

by Groß, Marco Published in IMF working paper (2020)

“...The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite...”

Journal Article

An agent-based model for the assessment of LTV caps

by Laliotis, Dimitrios Buesa, Alejandro Leber, Miha Población García, Francisco Javier
2019, 2019

“...We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where...”

Publication

An agent-based model for the assessment of LTV caps

by Laliotis, Dimitrios
2019

“...We assess the effects of regulatory caps in the loan-to-value (LTV) ratio using agent-based models (ABMs). Our approach builds upon a straightforward ABM where...”

Dissertation

Financial time series prediction and stochastic control of trading decisions in the fixed income markets

by Laliotis, Dimitrios
1996

Government Document

Systemic liquidity concept, measurement and macroprudential instruments

by Budnik, Katarzyna Couaillier, Cyril Duijm, Patty Faykiss, Peter Gajewski, Krzysztof Holtorf, Claudia Izquierdo Rios, Laura Koban, Anne Kok, Christoffer Laliotis, Dimitrios Lamas, Matías Lialiouti, Georgia Loehe, Sebastian Marques, Aurea Matos, Joana Meller, Barbara Melo, Ana Sofia Moldovan, Iulia Morão, Alexandra Pereira, Ana Pessarossi, Pierre Roling, Christoph Rutkauskas, Virgilijus Schmitz, Stefan Silbermann, Leonid Szakacs, Janos Tissari, Päivi Ubl, Eva Di Virgilio, Domenica Vlachogiannakis, Nikolaos Bonner, Clemens Wedow, Michael
2018

“...This study provides a conceptual and monitoring framework for systemic liquidity, as well as a legal assessment of the possible use of macroprudential...”

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