Details about Bernd Schwaab

Access statistics for papers by Bernd Schwaab.

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

Short-id: psc589

Working Papers

2021

1. A risk management perspective on macroprudential policy
   Working Paper Series, European Central Bank View citations (1)
2. Euro area sovereign bond risk premia during the Covid-19 pandemic
   Working Paper Series, European Central Bank View citations (8)
3. Modeling extreme events: time-varying extreme tail shape
   Working Paper Series, European Central Bank View citations (1)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020)
4. The risk management approach to macro-prudential policy
   Working Paper Series, European Central Bank View citations (5)

2020

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

2019

6. Risk endogeneity at the lender/investor-of-last-resort
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in Working Paper Series, European Central Bank (2019) View citations (1)
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019) View citations (1)
   See also Journal Article in Journal of Monetary Economics (2020)

2018

7. Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment
   Working Paper Series, European Central Bank View citations (17)
   See also Journal Article in Journal of Empirical Finance (2018)

2017

8. Bank business models at zero interest rates
   Working Paper Series, European Central Bank View citations (10)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2016) View citations (3)
   See also Journal Article in Journal of Business & Economic Statistics (2019)
9. Do Negative Interest Rates Make Banks Less Safe?
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (38)
   Also in Working Paper Series, European Central Bank (2017) View citations (40)
   See also Journal Article in Economics Letters (2017)

2016

10. Global credit risk: world country and industry factors
    Working Paper Series, European Central Bank View citations (8)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (2)
    See also Journal Article in Journal of Applied Econometrics (2017)
11. The information in systemic risk rankings
    Working Paper Series, European Central Bank View citations (24)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) View citations (6)
    See also Journal Article in Journal of Empirical Finance (2016)

2015

12. Modeling financial sector joint tail risk in the euro area
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
    Also in Working Paper Series, European Central Bank (2015) View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2017)

2014

13. 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 View citations (15)
14. Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (9)

2013

15. Assessing asset purchases within the ECB’s securities markets programme
    Working Paper Series, European Central Bank View citations (77)
16. Conditional and joint credit risk
    Working Paper Series, European Central Bank View citations (2)
17. Conditional euro area sovereign default risk
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) View citations (12)
    See also Journal Article in Journal of Business & Economic Statistics (2014)
18. Observation driven mixed-measurement dynamic factor models with an application to credit risk
    Working Paper Series, European Central Bank View citations (11)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2011) View citations (4)
    See also Journal Article in The Review of Economics and Statistics (2014)

2012

19. Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (25)
    See also Journal Article in Research Bulletin (2012)
20. Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008
    Working Paper Series, European Central Bank View citations (34)
    See also Journal Article in Journal of Business & Economic Statistics (2012)

2011

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

2010

22. Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (5)
23. Systemic Risk Diagnostics
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)

2008

24. Forecasting Cross-Sections of Frailty-Correlated Default
    Tinbergen Institute Discussion Papers, Tinbergen Institute 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 View citations (3)
   See also Working Paper (2019)

2019

2. Bank Business Models at Zero Interest Rates
   Journal of Business & Economic Statistics, 2019, 37, (3), 542-555 View citations (16)
   See also Working Paper (2017)
3. Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks?
   Research Bulletin, 2019, 62

2018

4. Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment
   Journal of Empirical Finance, 2018, 49, (C), 247-262 View citations (19)
   See also Working Paper (2018)

2017

5. Bank business models at negative interest rates
   Research Bulletin, 2017, 40 View citations (5)
6. Do negative interest rates make banks less safe?
   Economics Letters, 2017, 159, (C), 112-115 View citations (38)
   See also Working Paper (2017)
7. Global Credit Risk: World, Country and Industry Factors
   Journal of Applied Econometrics, 2017, 32, (2), 296-317 View citations (9)
   See also Working Paper (2016)
8. Modeling Financial Sector Joint Tail Risk in the Euro Area
   Journal of Applied Econometrics, 2017, 32, (1), 171-191 View citations (12)
   See also Working Paper (2015)

2016

9. 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 View citations (175)
10. The information in systemic risk rankings
    Journal of Empirical Finance, 2016, 38, (PA), 461-475 View citations (24)
    See also Working Paper (2016)

2014

11. Conditional Euro Area Sovereign Default Risk
    Journal of Business & Economic Statistics, 2014, 32, (2), 271-284 View citations (93)
    See also Working Paper (2013)
12. Nowcasting and forecasting global financial sector stress and credit market dislocation
    International Journal of Forecasting, 2014, 30, (3), 741-758 View citations (5)
13. Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
    The Review of Economics and Statistics, 2014, 96, (5), 898-915 View citations (66)
    See also Working Paper (2013)

2012

14. Conditional probabilities and contagion measures for euro area sovereign default risk
    Research Bulletin, 2012, 17, 6-11 View citations (8)
    See also Working Paper (2012)
15. 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 View citations (29)
    See also Working Paper (2012)

2011

16. Modeling frailty-correlated defaults using many macroeconomic covariates
    Journal of Econometrics, 2011, 162, (2), 312-325 View citations (78)
17. New methodologies for systemic risk measurement
    Research Bulletin, 2011, 12, 2-6

Chapters

2013

1. Discussion of Bank Funding and Financial Stability
   A chapter in Liquidity and Funding Markets, 2013