Natalia Tente

Research Interests

  • Portfolio credit risk
  • Copulae and tail dependence
  • Systemic risk and systemic risk contributions
  • Countercyclical capital buffer

Refereed Publications

  • Tente, N., N. von Westernhagen and U.Slopek (2019), M-PRESS-CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress, Journal of Money, Credit and Banking, Vol. 54(7), pp. 1923-1961.
  • Puzanova, N. and K. Düllmann (2013), Systemic Risk Contributions: A Credit Portfolio Approach, Journal of Banking and Finance, Vol. 37, No 4, 1243-1257.
  • Puzanova, N., S. Siddiqui and M. Trede (2009), Approximate Value-at-Risk Calculation for Heterogeneous Loan Portfolios: Possible Enhancements of Basel II Methodology, Journal of Financial Stability, Vol. 5, No 4, 374-392.
  • Puzanova, N. and S. Siddiqui (2005), Default Dependence among Corporate Bond Issuers: Empirical Evidence from Time Series Data, Applied Financial Economics Letters, Vol. 1, No 5, 297-302.

Other Working Papers and Publications

  • Tente, N., N. von Westernhagen and U. Slopek (2017), M-PRESS-CreditRisk: A holistic approach to capital requirements under systemic stress, at 06 December 2017
  • Tente, N., I. Stein, L. Silbermann and T. Deckers (2015), The countercyclical capital buffer in Germany, Analytical framework for the assessment of an appropriate domestic buffer rate (German version: Der antizyklische Kapitalpuffer in Deutschland, Analytischer Rahmen zur Bestimmung einer angemessenen inländischen Pufferquote), Deutsche Bundesbank, November 2015.
  • Tente, N. (2015), Basel's countercyclical capital buffer: The third nation issue, at 21 April 2015.
  • Detken, C. et al. (2014), Operationalising the Countercyclical Capital Buffer: Indicator Selection, Threshold Identification and Calibration, ESRB Occasional Paper Series No 5.
  • Puzanova, N. and K. Düllmann (2013), Macroprudential capital add-ons for systemically important banks, at, 27 June 2013.
  • Puzanova, N. (2013), A Hierarchical Model of Tail-Dependent Asset Returns, in: H. Scheule and D. Rösch (eds.), Credit Securitisation and Derivatives, John Wiley & Sons, New York.
  • Puzanova, N. (2012), Tweaking Archimedes to Find Tail Risk, Creditflux, Vol. 133, pp. 18-19.
  • Puzanova, N. (2010), Kreditrisiken der Banken: Neue Portfoliomodelle zur konservativen Bemessung des Eigenkapitalbedarfs, Dissertation, Verlag Dr. Kovac, Hamburg.


  • 2014: Systemic Risk Institute, Yale School of Management, New Haven: Swiss Finish to Basel III, Cross-Border Resolition - Fortis Group and Cross-Border Resolition - Dexia Group.
  • 2012: Joint Workshop by the BCBS, CEPR and JFI, Basel.
  • 2011: Annual Conference of the Swiss Society for Financial Market Research, Zurich; Systemic Risk, Basel III, Financial Stability and Regulation Conference, Sydney; Annual Congress of the European Economic Association, Oslo; Symposium on Financial Market Regulation, Cologne.