Details about Bernd Schwaab

Access statistics for papers by Bernd Schwaab.

Last updated 2024-08-09. Update your information in the RePEc Author Service.

Short-id: psc589

Working Papers

2023

1. Dynamic nonparametric clustering of multivariate panel data
   Working Paper Series, European Central Bank View citations (2)
   See also Journal Article Dynamic Nonparametric Clustering of Multivariate Panel Data*, Journal of Financial Econometrics, Oxford University Press (2024) (2024)
2. Modeling extreme events:time-varying extreme tail shape
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (3)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020)
   Working Paper Series, European Central Bank (2021) View citations (1)
   See also Journal Article Modeling Extreme Events: Time-Varying Extreme Tail Shape, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)

2022

3. Can EU bonds serve as euro-denominated safe assets?
   Working Paper Series, European Central Bank View citations (4)
   See also Journal Article Can EU Bonds Serve as Euro-Denominated Safe Assets?, JRFM, MDPI (2022) View citations (3) (2022)

2021

4. A risk management perspective on macroprudential policy
   Working Paper Series, European Central Bank View citations (4)
5. Dynamic clustering of multivariate panel data
   Working Paper Series, European Central Bank
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (2)
   See also Journal Article Dynamic clustering of multivariate panel data, Journal of Econometrics, Elsevier (2023) (2023)
6. Euro area sovereign bond risk premia during the Covid-19 pandemic
   Working Paper Series, European Central Bank View citations (19)
7. The risk management approach to macro-prudential policy
   Working Paper Series, European Central Bank View citations (13)

2019

8. Risk endogeneity at the lender/investor-of-last-resort
   Working Paper Series, European Central Bank View citations (1)
   Also in BIS Working Papers, Bank for International Settlements (2019) View citations (1)
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019) View citations (1)
   See also Journal Article Risk endogeneity at the lender/investor-of-last-resort, Journal of Monetary Economics, Elsevier (2020) View citations (4) (2020)

2018

9. Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment
   Working Paper Series, European Central Bank View citations (22)
   See also Journal Article Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment, Journal of Empirical Finance, Elsevier (2018) View citations (23) (2018)

2017

10. Bank business models at zero interest rates
    Working Paper Series, European Central Bank View citations (10)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (3)
    See also Journal Article Bank Business Models at Zero Interest Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) View citations (21) (2019)
11. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (45)
    Also in Working Paper Series, European Central Bank (2017) View citations (47)
    See also Journal Article Do negative interest rates make banks less safe?, Economics Letters, Elsevier (2017) View citations (45) (2017)

2016

12. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
    See also Journal Article Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (14) (2017)
13. The information in systemic risk rankings
    Working Paper Series, European Central Bank View citations (29)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (6)
    See also Journal Article The information in systemic risk rankings, Journal of Empirical Finance, Elsevier (2016) View citations (26) (2016)

2015

14. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, European Central Bank View citations (5)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015)
    See also Journal Article Modeling Financial Sector Joint Tail Risk in the Euro Area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (16) (2017)

2014

15. A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro Area
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (15)
16. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)

2013

17. Assessing asset purchases within the ECB’s securities markets programme
    Working Paper Series, European Central Bank View citations (81)
18. Conditional and joint credit risk
    Working Paper Series, European Central Bank View citations (2)
19. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (13)
    See also Journal Article Conditional Euro Area Sovereign Default Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (103) (2014)
20. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
    See also Journal Article Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk, The Review of Economics and Statistics, MIT Press (2014) View citations (80) (2014)

2012

21. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)
    See also Journal Article Conditional probabilities and contagion measures for euro area sovereign default risk, Research Bulletin, European Central Bank (2012) View citations (8) (2012)
22. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank View citations (38)
    See also Journal Article Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008, Journal of Business & Economic Statistics, Taylor & Francis Journals (2012) View citations (35) (2012)

2011

23. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank View citations (38)

2010

24. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
25. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

2008

26. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)

Journal Articles

2024

1. Dynamic Nonparametric Clustering of Multivariate Panel Data*
   Journal of Financial Econometrics, 2024, 22, (2), 335-374
   See also Working Paper Dynamic nonparametric clustering of multivariate panel data, Working Paper Series (2023) View citations (2) (2023)
2. Modeling Extreme Events: Time-Varying Extreme Tail Shape
   Journal of Business & Economic Statistics, 2024, 42, (3), 903-917 View citations (1)
   See also Working Paper Modeling extreme events:time-varying extreme tail shape, Working Paper Series (2023) View citations (3) (2023)

2023

3. Dynamic clustering of multivariate panel data
   Journal of Econometrics, 2023, 237, (2)
   See also Working Paper Dynamic clustering of multivariate panel data, Working Paper Series (2021) (2021)
4. Euro area sovereign bond risk premia before and during the Covid-19 pandemic
   European Economic Review, 2023, 153, (C) View citations (2)
5. The safe asset potential of EU-issued bonds
   Research Bulletin, 2023, 103 View citations (1)

2022

6. Can EU Bonds Serve as Euro-Denominated Safe Assets?
   JRFM, 2022, 15, (11), 1-13 View citations (3)
   See also Working Paper Can EU bonds serve as euro-denominated safe assets?, Working Paper Series (2022) View citations (4) (2022)

2021

7. A novel risk management perspective for macroprudential policy
   Research Bulletin, 2021, 87.1 View citations (3)

2020

8. Risk endogeneity at the lender/investor-of-last-resort
   Journal of Monetary Economics, 2020, 116, (C), 283-297 View citations (4)
   See also Working Paper Risk endogeneity at the lender/investor-of-last-resort, Working Paper Series (2019) View citations (1) (2019)

2019

9. Bank Business Models at Zero Interest Rates
   Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 View citations (21)
   See also Working Paper Bank business models at zero interest rates, Working Paper Series (2017) View citations (10) (2017)
10. Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks?
    Research Bulletin, 2019, 62

2018

11. Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment
    Journal of Empirical Finance, 2018, 49, (C), 247-262 View citations (23)
    See also Working Paper Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment, Working Paper Series (2018) View citations (22) (2018)

2017

12. Bank business models at negative interest rates
    Research Bulletin, 2017, 40 View citations (5)
13. Do negative interest rates make banks less safe?
    Economics Letters, 2017, 159, (C), 112-115 View citations (45)
    See also Working Paper Do Negative Interest Rates Make Banks Less Safe?, Tinbergen Institute Discussion Papers (2017) View citations (45) (2017)
14. Global Credit Risk: World, Country and Industry Factors
    Journal of Applied Econometrics, 2017, 32, (2), 296-317 View citations (14)
    See also Working Paper Global credit risk: world country and industry factors, Working Paper Series (2016) View citations (8) (2016)
15. Modeling Financial Sector Joint Tail Risk in the Euro Area
    Journal of Applied Econometrics, 2017, 32, (1), 171-191 View citations (16)
    See also Working Paper Modeling financial sector joint tail risk in the euro area, Working Paper Series (2015) View citations (5) (2015)

2016

16. Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme
    Journal of Financial Economics, 2016, 119, (1), 147-167 View citations (189)
17. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (26)
    See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) View citations (29) (2016)

2014

18. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 View citations (103)
    See also Working Paper Conditional euro area sovereign default risk, Working Paper Series (2013) View citations (13) (2013)
19. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (6)
20. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 View citations (80)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) View citations (11) (2013)

2012

21. Conditional probabilities and contagion measures for euro area sovereign default risk
    Research Bulletin, 2012, 17, 6-11 View citations (8)
    See also Working Paper Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk, Tinbergen Institute Discussion Papers (2012) View citations (25) (2012)
22. Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
    Journal of Business & Economic Statistics, 2012, 30, (4), 521-532 View citations (35)
    See also Working Paper Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008, Working Paper Series (2012) View citations (38) (2012)

2011

23. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 View citations (90)
24. New methodologies for systemic risk measurement
    Research Bulletin, 2011, 12, 2-6

Chapters

2013

1. Discussion of Bank Funding and Financial Stability
   A chapter in Liquidity and Funding Markets, 2013