Somnath Chatterjee

Personal Details

First Name:	Somnath
Middle Name:
Last Name:	Chatterjee
Suffix:
RePEc Short-ID:	pch325
	[This author has chosen not to make the email address public]

Affiliation

Centre for Central Banking Studies (CCBS)
Bank of England

London, United Kingdom
http://www.bankofengland.co.uk/ccbs
RePEc:edi:ccbgvuk (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.

   Cited by:

   1. Pierre Nkou Mananga & Shiqiang Lin & Hairui Zhang, 2023. "A network approach to interbank contagion risk in South Africa," Working Papers 11052, South African Reserve Bank.

2. Chatterjee, Somnath & Jobst, Andreas, 2019. "Market-implied systemic risk and shadow capital adequacy," Bank of England working papers 823, Bank of England.

   Cited by:

   1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
   2. Andreas Jobst & Ms. Hiroko Oura, 2019. "Sovereign Risk in Macroprudential Solvency Stress Testing," IMF Working Papers 2019/266, International Monetary Fund.

3. Chatterjee, Somnath & Chiu, Jeremy & Hacioglu-Hoke, Sinem & Duprey, Thibaut, 2017. "A financial stress index for the United Kingdom," Bank of England working papers 697, Bank of England.

   Cited by:

   1. Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2020. "The Impact of Uncertainty Shocks in South Africa: The Role of Financial Regimes," Working Papers 202046, University of Pretoria, Department of Economics.
      • Mehmet Balcilar & Rangan Gupta & Theshne Kisten, 2021. "The impact of uncertainty shocks in South Africa: The role of financial regimes," Review of Financial Economics, John Wiley & Sons, vol. 39(4), pages 442-454, October.
   2. Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Condition," Canadian Public Policy, University of Toronto Press, vol. 46(S3), pages 236-260, October.
      • Thibaut Duprey, 2020. "Canadian Financial Stress and Macroeconomic Conditions," Discussion Papers 2020-4, Bank of Canada.
   3. Theshne Kisten, 2020. "A Financial Stress Index for South Africa: A Time-Varying Correlation Approach," Working Papers 202011, University of Pretoria, Department of Economics.
      • Theshne Kisten, 2019. "A financial stress index for South Africa: A time-varying correlation approach," Working Papers 805, Economic Research Southern Africa.
   4. Vladyslav Filatov, 2020. "A New Financial Stress Index for Ukraine," IHEID Working Papers 15-2020, Economics Section, The Graduate Institute of International Studies.
   5. Duprey, Thibaut & Klaus, Benjamin, 2022. "Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress," Journal of Banking & Finance, Elsevier, vol. 138(C).
   6. Andrea Cipollini & Ieva Mikaliunaite, 2021. "Financial distress and real economic activity in Lithuania: a Granger causality test based on mixed-frequency VAR," Empirical Economics, Springer, vol. 61(2), pages 855-881, August.
   7. DEHMEJ , Salim & MIKOU, Mohammed, 2020. "Indice agrégé de stabilité financière au Maroc," Document de travail 2020-2, Bank Al-Maghrib, Département de la Recherche.
   8. Thibaut Duprey, 2018. "Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities," Staff Analytical Notes 2018-6, Bank of Canada.

4. Somnath Chatterjee, 2005. "Application Of The Kalman Filter For Estimating Continuous Time Term Structure Models: The Case Of Uk And Germany," Working Papers 2005_2, Business School - Economics, University of Glasgow.

   Cited by:

   1. Long H. Vo, 2014. "Application of Kalman Filter on modelling interest rates," Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 1(1), pages 1-15, March.
   2. Flavia Antonacci & Cristina Costantini & Marco Papi, 2021. "Short-Term Interest Rate Estimation by Filtering in a Model Linking Inflation, the Central Bank and Short-Term Interest Rates," Mathematics, MDPI, vol. 9(10), pages 1-20, May.

Articles

1. Somnath Chatterjee & Ching‐Wai (Jeremy) Chiu & Thibaut Duprey & Sinem Hacıoğlu‐Hoke, 2022. "Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 380-400, April.

   Cited by:

   1. Katalin Varga & Tibor Szendrei, 2024. "Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK," Papers 2404.01451, arXiv.org.

Books

1. Somnath Chatterjee, 2015. "Modelling credit risk," Handbooks, Centre for Central Banking Studies, Bank of England, number 34, April.

   Cited by:

   1. Dirk Broeders & Leo de Haan & Jan Willem van den End, 2022. "How QE changes the nature of sovereign risk," Working Papers 737, DNB.
      • Broeders, Dirk & de Haan, Leo & Willem van den End, Jan, 2023. "How quantitative easing changes the nature of sovereign risk," Journal of International Money and Finance, Elsevier, vol. 137(C).
   2. Yuan Gao & Biao Jiang & Jietong Zhou, 2023. "Financial Distress Prediction For Small And Medium Enterprises Using Machine Learning Techniques," Papers 2302.12118, arXiv.org.
   3. Marina Dolfin & Damian Knopoff & Michele Limosani & Maria Gabriella Xibilia, 2019. "Credit Risk Contagion and Systemic Risk on Networks," Mathematics, MDPI, vol. 7(8), pages 1-16, August.
   4. Talam, Camilla C. & Maru, Lucy, 2023. "The greening of Kenya's banking sector: Macro-financial stability implications of a low carbon transition," KBA Centre for Research on Financial Markets and Policy Working Paper Series 65, Kenya Bankers Association (KBA).
   5. Jumbe, George, 2023. "Credit Risk Assessment Using Default Models: A Review," OSF Preprints ksb8n, Center for Open Science.
   6. Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-BAN: Banking (2) 2019-11-18 2021-04-12
2. NEP-FMK: Financial Markets (2) 2005-01-23 2021-04-12
3. NEP-RMG: Risk Management (2) 2019-11-18 2021-04-12
4. NEP-CBA: Central Banking (1) 2019-11-18
5. NEP-CFN: Corporate Finance (1) 2019-11-18
6. NEP-ETS: Econometric Time Series (1) 2005-01-23
7. NEP-FDG: Financial Development and Growth (1) 2021-04-12
8. NEP-FIN: Finance (1) 2005-01-23
9. NEP-IFN: International Finance (1) 2005-01-23
10. NEP-MON: Monetary Economics (1) 2005-01-23
11. NEP-ORE: Operations Research (1) 2019-11-18

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