Details about Til Schuermann

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

Access statistics for papers by Til Schuermann.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: psc73

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Working Papers

2016

1. Stress Testing in Wartime and in Peacetime
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (10)
   Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2016) View citations (10)

2015

2. Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
3. Stress Testing Convergence
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
   See also Journal Article Stress testing convergence, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2016) View citations (3) (2016)

2014

4. Bank Capital for Operational Risk: A Tale of Fragility and Instability
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (3)
   See also Journal Article Bank capital for operational risk: A tale of fragility and instability, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2015) (2015)

2013

5. Stress Testing Bank Profitability
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (1)
   See also Journal Article Stress testing bank profitability, Journal of Risk Management in Financial Institutions, Henry Stewart Publications (2013) View citations (1) (2013)
6. Stress Testing Banks
   Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (10)
   See also Journal Article Stress testing banks, International Journal of Forecasting, Elsevier (2014) View citations (54) (2014)

2012

7. Robust Capital Regulation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
   Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (6)
   See also Journal Article Robust capital regulation, Current Issues in Economics and Finance, Federal Reserve Bank of New York (2012) View citations (9) (2012)

2010

8. Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model
   EcoMod2003, EcoMod View citations (11)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2001) View citations (9)
   10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data (2001) View citations (65)
   Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (2002) View citations (19)
   See also Journal Article Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (760) (2004)

2009

9. Macroprudential supervision of financial institutions: lessons from the SCAP
   Staff Reports, Federal Reserve Bank of New York View citations (64)

2008

10. Forecasting Economic and Financial Variables with Global VARs
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (6)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (4)
    CESifo Working Paper Series, CESifo (2008) View citations (6)
    See also Journal Article Forecasting economic and financial variables with global VARs, International Journal of Forecasting, Elsevier (2009) View citations (124) (2009)
11. Understanding the securitization of subprime mortgage credit
    Staff Reports, Federal Reserve Bank of New York View citations (157)
    See also Journal Article Understanding the Securitization of Subprime Mortgage Credit, Foundations and Trends(R) in Finance, now publishers (2008) View citations (199) (2008)

2007

12. Hedge funds, financial intermediation, and systemic risk
    Staff Reports, Federal Reserve Bank of New York View citations (12)
    See also Journal Article Hedge funds, financial intermediation, and systemic risk, Economic Policy Review, Federal Reserve Bank of New York (2007) View citations (15) (2007)

2006

13. Hedging bank liquidity risk
    Proceedings, Federal Reserve Bank of Chicago
14. Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions, The Review of Financial Studies, Society for Financial Studies (2009) View citations (126) (2009)
15. Visible and hidden risk factors for banks
    Staff Reports, Federal Reserve Bank of New York View citations (23)

2005

16. Firm Heterogeneity and Credit Risk Diversification
    CESifo Working Paper Series, CESifo View citations (22)
    See also Journal Article Firm heterogeneity and credit risk diversification, Journal of Empirical Finance, Elsevier (2008) View citations (20) (2008)
17. Global Business Cycles and Credit Risk
    CESifo Working Paper Series, CESifo View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (9)
    See also Chapter Global Business Cycles and Credit Risk, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (22) (2007)
18. Scope for Credit Risk Diversification
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (1)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2005) View citations (1)
19. The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification
    IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations (4)
    Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2005) View citations (5)

2004

20. A general approach to integrated risk management with skewed, fat-tailed risks
    Staff Reports, Federal Reserve Bank of New York View citations (23)
    See also Journal Article A general approach to integrated risk management with skewed, fat-tailed risks, Journal of Financial Economics, Elsevier (2006) View citations (120) (2006)
21. Estimating probabilities of default
    Staff Reports, Federal Reserve Bank of New York View citations (8)
22. 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 (5)
    See also Chapter How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998, NBER Chapters, National Bureau of Economic Research, Inc (2007) View citations (8) (2007)

2003

23. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge View citations (31)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania
    CESifo Working Paper Series, CESifo (2003) View citations (25)
    See also Journal Article Macroeconomic Dynamics and Credit Risk: A Global Perspective, Journal of Money, Credit and Banking, Blackwell Publishing (2006) View citations (167) (2006)
24. Measurement and Estimation of Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (12)
25. Metrics for Comparing Credit Migration Matrices
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (6)

2002

26. 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 View citations (5)
27. 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 (15)

2000

28. 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 (30)
    See also Journal Article Ratings migration and the business cycle, with application to credit portfolio stress testing, Journal of Banking & Finance, Elsevier (2002) View citations (261) (2002)

1998

29. 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 (29)
    See also Journal Article Horizon problems and extreme events in financial risk management, Economic Policy Review, Federal Reserve Bank of New York (1998) View citations (27) (1998)
30. 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 (7)
    Also in Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania (1998) View citations (20)
31. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania View citations (67)
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1998) View citations (62)
    See also Journal Article Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management, Journal of Risk Finance, Emerald Group Publishing Limited (2000) View citations (5) (2000)

1997

32. Businessmen's Expectations Are Neither Rational nor Adaptive
    ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (3)
33. 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 (24)

1996

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

1993

35. Exact maximum likelihood estimation of ARCH models
    Working Papers, Federal Reserve Bank of Philadelphia View citations (3)

Undated

36. 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 (5)
37. 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

2021

1. Managing the risk of climate change
   Journal of Risk Management in Financial Institutions, 2021, 14, (2), 112-114

2020

2. Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing
   Journal of Money, Credit and Banking, 2020, 52, (S1), 87-105 View citations (4)

2019

3. What is enterprise risk management?
   Journal of Risk Management in Financial Institutions, 2019, 12, (4), 311-319

2016

4. Stress testing convergence
   Journal of Risk Management in Financial Institutions, 2016, 9, (1), 32-45 View citations (3)
   See also Working Paper Stress Testing Convergence, Working Papers (2015) View citations (1) (2015)

2015

5. Bank capital for operational risk: A tale of fragility and instability
   Journal of Risk Management in Financial Institutions, 2015, 8, (3), 227-243
   See also Working Paper Bank Capital for Operational Risk: A Tale of Fragility and Instability, Working Papers (2014) View citations (3) (2014)

2014

6. Stress testing banks
   International Journal of Forecasting, 2014, 30, (3), 717-728 View citations (54)
   See also Working Paper Stress Testing Banks, Working Papers (2013) View citations (10) (2013)

2013

7. Stress testing bank profitability
   Journal of Risk Management in Financial Institutions, 2013, 7, (1), 72-84 View citations (1)
   See also Working Paper Stress Testing Bank Profitability, Working Papers (2013) View citations (1) (2013)

2012

8. Guest Editorial
   Journal of Risk Management in Financial Institutions, 2012, 5, (3), 220-223
9. Robust capital regulation
   Current Issues in Economics and Finance, 2012, 18, (May) View citations (9)
   See also Working Paper Robust Capital Regulation, CEPR Discussion Papers (2012) View citations (18) (2012)

2009

10. Forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 642-675 View citations (124)
    See also Working Paper Forecasting Economic and Financial Variables with Global VARs, Cambridge Working Papers in Economics (2008) View citations (6) (2008)
11. Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions
    The Review of Financial Studies, 2009, 22, (3), 995-1020 View citations (126)
    Also in The Review of Financial Studies, 2009, 22, (3), 995-1020 (2009) View citations (116)
    See also Working Paper Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions, NBER Working Papers (2006) View citations (12) (2006)
12. Rejoinder to comments on forecasting economic and financial variables with global VARs
    International Journal of Forecasting, 2009, 25, (4), 703-715 View citations (104)

2008

13. Credit rating dynamics and Markov mixture models
    Journal of Banking & Finance, 2008, 32, (6), 1062-1075 View citations (61)
14. Firm heterogeneity and credit risk diversification
    Journal of Empirical Finance, 2008, 15, (4), 583-612 View citations (20)
    See also Working Paper Firm Heterogeneity and Credit Risk Diversification, CESifo Working Paper Series (2005) View citations (22) (2005)
15. Understanding the Securitization of Subprime Mortgage Credit
    Foundations and Trends(R) in Finance, 2008, 2, (3), 191-309 View citations (199)
    See also Working Paper Understanding the securitization of subprime mortgage credit, Staff Reports (2008) View citations (157) (2008)

2007

16. Hedge funds, financial intermediation, and systemic risk
    Economic Policy Review, 2007, 13, (Dec), 1-18 View citations (15)
    See also Working Paper Hedge funds, financial intermediation, and systemic risk, Staff Reports (2007) View citations (12) (2007)

2006

17. A general approach to integrated risk management with skewed, fat-tailed risks
    Journal of Financial Economics, 2006, 79, (3), 569-614 View citations (120)
    See also Working Paper A general approach to integrated risk management with skewed, fat-tailed risks, Staff Reports (2004) View citations (23) (2004)
18. Confidence intervals for probabilities of default
    Journal of Banking & Finance, 2006, 30, (8), 2281-2301 View citations (36)
19. Macroeconomic Dynamics and Credit Risk: A Global Perspective
    Journal of Money, Credit and Banking, 2006, 38, (5), 1211-1261 View citations (167)
    See also Working Paper Macroeconomic Dynamics and Credit Risk: A Global Perspective, Cambridge Working Papers in Economics (2003) View citations (31) (2003)

2005

20. A review of recent books on credit risk
    Journal of Applied Econometrics, 2005, 20, (1), 123-130 View citations (1)
    Also in Journal of Applied Econometrics, 2005, 20, (1), 123-130 (2005)
21. 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 (23)

2004

22. Measurement, estimation and comparison of credit migration matrices
    Journal of Banking & Finance, 2004, 28, (11), 2603-2639 View citations (65)
23. Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model
    Journal of Business & Economic Statistics, 2004, 22, 129-162 View citations (760)
    See also Working Paper Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model, EcoMod2003 (2010) View citations (11) (2010)
24. Rejoinder
    Journal of Business & Economic Statistics, 2004, 22, 175-181
25. Why were banks better off in the 2001 recession?
    Current Issues in Economics and Finance, 2004, 10, (Jan) View citations (9)

2002

26. 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 (261)
    See also Working Paper Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing, Center for Financial Institutions Working Papers (2000) View citations (30) (2000)

2001

27. The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico
    Economics of Education Review, 2001, 20, (1), 27-40 View citations (3)

2000

28. Changing Regulatory Capital to Include Liquidity and Management Intervention
    Journal of Risk Finance, 2000, 1, (4), 47-54
29. Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management
    Journal of Risk Finance, 2000, 1, (2), 30-35 View citations (5)
    See also Working Paper Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management, Center for Financial Institutions Working Papers (1998) View citations (67) (1998)

1998

30. Horizon problems and extreme events in financial risk management
    Economic Policy Review, 1998, 4, (Oct), 109-118 View citations (27)
    See also Working Paper Horizon Problems and Extreme Events in Financial Risk Management, Center for Financial Institutions Working Papers (1998) View citations (29) (1998)

Edited books

2022

1. Handbook of Financial Stress Testing
   Cambridge Books, Cambridge University Press

2008

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

2000

3. Simulation-based Inference in Econometrics
   Cambridge Books, Cambridge University Press View citations (145)

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

2009

2. 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

2007

3. Global Business Cycles and Credit Risk
   A chapter in The Risks of Financial Institutions, 2007, pp 419-469 View citations (22)
   See also Working Paper Global Business Cycles and Credit Risk, CESifo (2005) View citations (13) (2005)
4. 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 105-127 View citations (8)
   See also Working Paper How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998, National Bureau of Economic Research, Inc (2004) View citations (5) (2004)