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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 2021-07-26. Update your information in the RePEc Author Service.

Short-id: psc589


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Working Papers

2021

  1. A risk management perspective on macroprudential policy
    Working Paper Series, European Central Bank Downloads View citations (2)
  2. Euro area sovereign bond risk premia during the Covid-19 pandemic
    Working Paper Series, European Central Bank Downloads View citations (16)
  3. Modeling extreme events: time-varying extreme tail shape
    Working Paper Series, European Central Bank Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) Downloads
  4. The risk management approach to macro-prudential policy
    Working Paper Series, European Central Bank Downloads View citations (12)

2020

  1. Dynamic clustering of multivariate panel data
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)

2019

  1. Risk endogeneity at the lender/investor-of-last-resort
    Working Paper Series, European Central Bank Downloads View citations (1)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019) Downloads View citations (1)
    BIS Working Papers, Bank for International Settlements (2019) Downloads View citations (1)

    See also Journal Article Risk endogeneity at the lender/investor-of-last-resort, Journal of Monetary Economics, Elsevier (2020) Downloads View citations (4) (2020)

2018

  1. Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment
    Working Paper Series, European Central Bank Downloads View citations (20)
    See also Journal Article Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment, Journal of Empirical Finance, Elsevier (2018) Downloads View citations (21) (2018)

2017

  1. Bank business models at zero interest rates
    Working Paper Series, European Central Bank Downloads View citations (10)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) Downloads View citations (3)

    See also Journal Article Bank Business Models at Zero Interest Rates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2019) Downloads View citations (20) (2019)
  2. Do Negative Interest Rates Make Banks Less Safe?
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (44)
    Also in Working Paper Series, European Central Bank (2017) Downloads View citations (46)

    See also Journal Article Do negative interest rates make banks less safe?, Economics Letters, Elsevier (2017) Downloads View citations (44) (2017)

2016

  1. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank Downloads View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (2)

    See also Journal Article Global Credit Risk: World, Country and Industry Factors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (13) (2017)
  2. The information in systemic risk rankings
    Working Paper Series, European Central Bank Downloads View citations (28)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads View citations (6)

    See also Journal Article The information in systemic risk rankings, Journal of Empirical Finance, Elsevier (2016) Downloads View citations (26) (2016)

2015

  1. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, European Central Bank Downloads View citations (5)
    Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2015) Downloads

    See also Journal Article Modeling Financial Sector Joint Tail Risk in the Euro Area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (16) (2017)

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 (15)
  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 (80)
  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 (13)
    See also Journal Article Conditional Euro Area Sovereign Default Risk, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) Downloads View citations (99) (2014)
  4. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank Downloads View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) Downloads 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) Downloads View citations (76) (2014)

2012

  1. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (25)
    See also Journal Article Conditional probabilities and contagion measures for euro area sovereign default risk, Research Bulletin, European Central Bank (2012) Downloads View citations (8) (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 (36)
    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) Downloads View citations (34) (2012)

2011

  1. Systemic risk diagnostics: coincident indicators and early warning signals
    Working Paper Series, European Central Bank Downloads View citations (35)

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 (12)

2008

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

Journal Articles

2020

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

2019

  1. Bank Business Models at Zero Interest Rates
    Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 Downloads View citations (20)
    See also Working Paper Bank business models at zero interest rates, Working Paper Series (2017) Downloads View citations (10) (2017)
  2. Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks?
    Research Bulletin, 2019, 62 Downloads

2018

  1. Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment
    Journal of Empirical Finance, 2018, 49, (C), 247-262 Downloads View citations (21)
    See also Working Paper Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment, Working Paper Series (2018) Downloads View citations (20) (2018)

2017

  1. Bank business models at negative interest rates
    Research Bulletin, 2017, 40 Downloads View citations (5)
  2. Do negative interest rates make banks less safe?
    Economics Letters, 2017, 159, (C), 112-115 Downloads View citations (44)
    See also Working Paper Do Negative Interest Rates Make Banks Less Safe?, Tinbergen Institute Discussion Papers (2017) Downloads View citations (44) (2017)
  3. Global Credit Risk: World, Country and Industry Factors
    Journal of Applied Econometrics, 2017, 32, (2), 296-317 Downloads View citations (13)
    See also Working Paper Global credit risk: world country and industry factors, Working Paper Series (2016) Downloads View citations (8) (2016)
  4. Modeling Financial Sector Joint Tail Risk in the Euro Area
    Journal of Applied Econometrics, 2017, 32, (1), 171-191 Downloads View citations (16)
    See also Working Paper Modeling financial sector joint tail risk in the euro area, Working Paper Series (2015) Downloads View citations (5) (2015)

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 (186)
  2. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 Downloads View citations (26)
    See also Working Paper The information in systemic risk rankings, Working Paper Series (2016) Downloads View citations (28) (2016)

2014

  1. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 Downloads View citations (99)
    See also Working Paper Conditional euro area sovereign default risk, Working Paper Series (2013) Downloads View citations (13) (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 (6)
  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 (76)
    See also Working Paper Observation driven mixed-measurement dynamic factor models with an application to credit risk, Working Paper Series (2013) Downloads View citations (11) (2013)

2012

  1. Conditional probabilities and contagion measures for euro area sovereign default risk
    Research Bulletin, 2012, 17, 6-11 Downloads View citations (8)
    See also Working Paper Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk, Tinbergen Institute Discussion Papers (2012) Downloads View citations (25) (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 (34)
    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) Downloads View citations (36) (2012)

2011

  1. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 Downloads View citations (86)
  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
 
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