Details about Til Schuermann

Access statistics for papers by Til Schuermann.

Last updated 2009-09-26. Update your information in the RePEc Author Service.

Short-id: psc73

Working Papers

2008

1. Forecasting Economic and Financial Variables with Global VARs
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge
   Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations
   CESifo Working Paper Series, CESifo Group Munich (2008) View citations
2. Understanding the securitization of subprime mortgage credit
   Staff Reports, Federal Reserve Bank of New York View citations

2007

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

2006

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

2005

6. Firm Heterogeneity and Credit Risk Diversification
   CESifo Working Paper Series, CESifo Group Munich View citations
   See also Journal Article in Journal of Empirical Finance (2008)
7. Global Business Cycles and Credit Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in CESifo Working Paper Series, CESifo Group Munich (2005) View citations
   See also Chapter (2007)
8. Scope for Credit Risk Diversification
   IEPR Working Papers, Institute of Economic Policy Research (IEPR)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005)
9. The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
   Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations
   Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations

2004

10. A general approach to integrated risk management with skewed, fat-tailed risks
    Staff Reports, Federal Reserve Bank of New York View citations
    See also Journal Article in Journal of Financial Economics (2006)
11. Estimating probabilities of default
    Staff Reports, Federal Reserve Bank of New York View citations
12. 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 View citations

2003

13. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    CESifo Working Paper Series, CESifo Group Munich View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2003) View citations
    See also Journal Article in Journal of Money, Credit and Banking (2006)
14. Measurement and Estimation of Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
15. Metrics for Comparing Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations

2002

16. 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
17. 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 View citations
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001)
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) View citations
    See also Journal Article in Journal of Business & Economic Statistics (2004)
18. 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 View citations

2000

19. 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 View citations
    See also Journal Article in Journal of Banking & Finance (2002)

1998

20. Horizon Problems and Extreme Events in Financial Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations
    See also Journal Article in Economic Policy Review (1998)
21. 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- View citations
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations
22. 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
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations

1997

23. 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 View citations

1996

24. Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

1993

25. Exact maximum likelihood estimation of ARCH models
    Working Papers, Federal Reserve Bank of Philadelphia View citations

Undated

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

Journal Articles

2009

1. Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
   Review of Financial Studies, 2009, 22, (3), 995-1020
   See also Working Paper (2006)

2008

2. Credit rating dynamics and Markov mixture models
   Journal of Banking & Finance, 2008, 32, (6), 1062-1075 View citations
3. Firm heterogeneity and credit risk diversification
   Journal of Empirical Finance, 2008, 15, (4), 583-612
   See also Working Paper (2005)

2007

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

2006

5. A general approach to integrated risk management with skewed, fat-tailed risks
   Journal of Financial Economics, 2006, 79, (3), 569-614 View citations
   See also Working Paper (2004)
6. Confidence intervals for probabilities of default
   Journal of Banking & Finance, 2006, 30, (8), 2281-2301 View citations
7. Hedging bank liquidity risk
   Proceedings, 2006, 189-203
8. Macroeconomic Dynamics and Credit Risk: A Global Perspective
   Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations
   See also Working Paper (2003)

2005

9. A review of recent books on credit risk
   Journal of Applied Econometrics, 2005, 20, (1), 123-130
10. 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 View citations

2004

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

2002

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

2001

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

1998

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

Chapters

2007

1. Global Business Cycles and Credit Risk
   A chapter in The Risks of Financial Institutions, 2007, pp 419-474 View citations
   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