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Details about Bernd Schwaab

Homepage:http://www.berndschwaab.eu
Workplace:European Central Bank, (more information at EDIRC)

Access statistics for papers by Bernd Schwaab.

Last updated 2017-02-06. Update your information in the RePEc Author Service.

Short-id: psc589


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Working Papers

2016

  1. Bank Business Models at Zero Interest Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank Downloads View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads
  3. The information in systemic risk rankings
    Working Paper Series, European Central Bank Downloads View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (4)

    See also Journal Article in Journal of Empirical Finance (2016)

2015

  1. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
    Also in Working Paper Series, European Central Bank (2015) Downloads View citations (1)

2014

  1. 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 Downloads View citations (5)
  2. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (9)

2013

  1. Assessing asset purchases within the ECB’s securities markets programme
    Working Paper Series, European Central Bank Downloads View citations (56)
  2. Conditional and joint credit risk
    Working Paper Series, European Central Bank Downloads View citations (2)
  3. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads View citations (8)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
  4. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads View citations (2)

    See also Journal Article in The Review of Economics and Statistics (2014)

2012

  1. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (18)
    See also Journal Article in Research Bulletin (2012)
  2. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank Downloads View citations (19)
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2011

  1. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (20)

2010

  1. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (5)
  2. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (11)

2008

  1. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (3)

Journal Articles

2016

  1. 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 Downloads View citations (28)
  2. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 Downloads View citations (2)
    See also Working Paper (2016)

2014

  1. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 Downloads View citations (46)
    See also Working Paper (2013)
  2. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 Downloads View citations (3)
  3. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 Downloads View citations (22)
    See also Working Paper (2013)

2012

  1. Conditional probabilities and contagion measures for euro area sovereign default risk
    Research Bulletin, 2012, 17, 6-11 Downloads View citations (2)
    See also Working Paper (2012)
  2. 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 Downloads View citations (18)
    See also Working Paper (2012)

2011

  1. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (32)
  2. New methodologies for systemic risk measurement
    Research Bulletin, 2011, 12, 2-6 Downloads

Chapters

2013

  1. Discussion of Bank Funding and Financial Stability
    A chapter in Liquidity and Funding Markets, 2013 Downloads
 
Page updated 2017-09-19