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Details about Til Schuermann

Postal address:Oliver Wyman Financial Services 1166 Avenue of the Americas New York, NY 10036

Access statistics for papers by Til Schuermann.

Last updated 2017-02-07. Update your information in the RePEc Author Service.

Short-id: psc73


Jump to Journal Articles Edited books Chapters

Working Papers

2016

  1. Stress Testing in Wartime and in Peacetime
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (3)

2015

  1. Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
  2. Stress Testing Convergence
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads

2014

  1. Bank Capital for Operational Risk: A Tale of Fragility and Instability
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (2)

2013

  1. Stress Testing Bank Profitability
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
  2. Stress Testing Banks
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads
    See also Journal Article in International Journal of Forecasting (2014)

2012

  1. Robust Capital Regulation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in Staff Reports, Federal Reserve Bank of New York (2011) Downloads View citations (6)

    See also Journal Article in Current Issues in Economics and Finance (2012)

2009

  1. Macroprudential supervision of financial institutions: lessons from the SCAP
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (35)

2008

  1. Forecasting Economic and Financial Variables with Global VARs
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2008) Downloads View citations (3)
    Staff Reports, Federal Reserve Bank of New York (2008) Downloads View citations (3)

    See also Journal Article in International Journal of Forecasting (2009)
  2. Understanding the securitization of subprime mortgage credit
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (120)
    See also Journal Article in Foundations and Trends(R) in Finance (2008)

2007

  1. Hedge funds, financial intermediation, and systemic risk
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (6)
    See also Journal Article in Economic Policy Review (2007)

2006

  1. Hedging bank liquidity risk
    Proceedings, Federal Reserve Bank of Chicago
  2. Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Review of Financial Studies (2009)
  3. Visible and hidden risk factors for banks
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (13)

2005

  1. Firm Heterogeneity and Credit Risk Diversification
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (13)
    See also Journal Article in Journal of Empirical Finance (2008)
  2. Global Business Cycles and Credit Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in CESifo Working Paper Series, CESifo Group Munich (2005) Downloads View citations (12)

    See also Chapter (2007)
  3. Scope for Credit Risk Diversification
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (1)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) Downloads View citations (1)
  4. The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (3)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (2)

2004

  1. A general approach to integrated risk management with skewed, fat-tailed risks
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (15)
    See also Journal Article in Journal of Financial Economics (2006)
  2. Estimating probabilities of default
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
  3. How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

2003

  1. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (15)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) Downloads View citations (21)
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads

    See also Journal Article in Journal of Money, Credit and Banking (2006)
  2. Measurement and Estimation of Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (9)
  3. Metrics for Comparing Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (6)

2002

  1. Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays?
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (2)
  2. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (17)
    Also in 10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) Downloads View citations (59)
    EcoMod2003, EcoMod Downloads View citations (6)
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001) Downloads View citations (3)

    See also Journal Article in Journal of Business & Economic Statistics (2004)
  3. Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (10)

2000

  1. Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (23)
    See also Journal Article in Journal of Banking & Finance (2002)

1998

  1. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (18)
    See also Journal Article in Economic Policy Review (1998)
  2. Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- Downloads View citations (4)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) Downloads View citations (15)
  3. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (46)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) Downloads View citations (47)

1997

  1. Businessmen's Expectations Are Neither Rational nor Adaptive
    ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research Downloads View citations (2)
  2. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (16)

1996

  1. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

1993

  1. Exact maximum likelihood estimation of ARCH models
    Working Papers, Federal Reserve Bank of Philadelphia View citations (2)

Undated

  1. The New Basel Capital Accord and Questions for Research
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania Downloads View citations (5)
  2. Why You May Need Not Worry About Finite Sample Bias In Simulated Maximum Likelihood Estimation
    Discussion Papers, Department of Economics, University of York View citations (1)

Journal Articles

2014

  1. Stress testing banks
    International Journal of Forecasting, 2014, 30, (3), 717-728 Downloads View citations (12)
    See also Working Paper (2013)

2012

  1. Robust capital regulation
    Current Issues in Economics and Finance, 2012, 18, (May) Downloads View citations (3)
    See also Working Paper (2012)

2009

  1. Forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 642-675 Downloads View citations (61)
    See also Working Paper (2008)
  2. Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
    Review of Financial Studies, 2009, 22, (3), 995-1020 Downloads View citations (59)
    See also Working Paper (2006)
  3. Rejoinder to comments on forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 703-715 Downloads View citations (45)

2008

  1. Credit rating dynamics and Markov mixture models
    Journal of Banking & Finance, 2008, 32, (6), 1062-1075 Downloads View citations (29)
  2. Firm heterogeneity and credit risk diversification
    Journal of Empirical Finance, 2008, 15, (4), 583-612 Downloads View citations (14)
    See also Working Paper (2005)
  3. Understanding the Securitization of Subprime Mortgage Credit
    Foundations and Trends(R) in Finance, 2008, 2, (3), 191-309 Downloads View citations (72)
    See also Working Paper (2008)

2007

  1. Hedge funds, financial intermediation, and systemic risk
    Economic Policy Review, 2007, (Dec), 1-18 Downloads View citations (5)
    See also Working Paper (2007)

2006

  1. A general approach to integrated risk management with skewed, fat-tailed risks
    Journal of Financial Economics, 2006, 79, (3), 569-614 Downloads View citations (69)
    See also Working Paper (2004)
  2. Confidence intervals for probabilities of default
    Journal of Banking & Finance, 2006, 30, (8), 2281-2301 Downloads View citations (22)
  3. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 Downloads View citations (105)
    See also Working Paper (2003)

2005

  1. A review of recent books on credit risk
    Journal of Applied Econometrics, 2005, 20, (1), 123-130 Downloads
  2. Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?
    Journal of Financial Services Research, 2005, 27, (3), 217-242 Downloads View citations (10)

2004

  1. Measurement, estimation and comparison of credit migration matrices
    Journal of Banking & Finance, 2004, 28, (11), 2603-2639 Downloads View citations (41)
  2. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
    Journal of Business & Economic Statistics, 2004, 22, 129-162 Downloads View citations (307)
    See also Working Paper (2002)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2004, 22, 175-181 Downloads
  4. Why were banks better off in the 2001 recession?
    Current Issues in Economics and Finance, 2004, 10, (Jan) Downloads View citations (4)

2002

  1. Ratings migration and the business cycle, with application to credit portfolio stress testing
    Journal of Banking & Finance, 2002, 26, (2-3), 445-474 Downloads View citations (161)
    See also Working Paper (2000)

2001

  1. The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico
    Economics of Education Review, 2001, 20, (1), 27-40 Downloads View citations (2)

1998

  1. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, (Oct), 109-118 Downloads View citations (16)
    See also Working Paper (1998)

Edited books

2008

  1. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press

2000

  1. Simulation-based Inference in Econometrics
    Cambridge Books, Cambridge University Press

Chapters

2015

  1. Model Risk and the Great Financial Crisis
    Chapter 15 in The New International Financial System Analyzing the Cumulative Impact of Regulatory Reform, 2015, pp 339-353 Downloads

2009

  1. The Seven Deadly Frictions of Subprime Mortgage Credit Securitization
    Chapter 20 in The First Credit Market Turmoil Of The 21st Century Implications for Public Policy, 2009, pp 325-343 Downloads

2007

  1. Global Business Cycles and Credit Risk
    A chapter in The Risks of Financial Institutions, 2007, pp 419-474 Downloads View citations (12)
    See also Working Paper (2005)
  2. How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998
    A chapter in The Risks of Financial Institutions, 2007, pp 105-132 Downloads View citations (1)
 
Page updated 2017-06-23