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Schwaab, Bernd's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,049 |
Total
Citations
9 |
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1.
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Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals
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Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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Posted:
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03 Dec 10
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Last Revised:
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19 Apr 11
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326
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3
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Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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157
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3
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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods
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Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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169
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3
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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods
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2.
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Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research
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27 Jan 10
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Last Revised:
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05 Sep 10
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192
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1
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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times
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3.
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Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Zhang, Xin
European Central Bank (ECB) - Directorate General Research
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14 Dec 11
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Last Revised:
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29 Jun 12
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178
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sovereign credit risk, higher order moments, time-varying parameters, financial stability
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4.
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Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research
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126
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2
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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities
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5.
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Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research
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12 Feb 09
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Last Revised:
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29 Aug 10
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115
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1
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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting
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6.
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Creal, Drew
University of Chicago - Booth School of Business - Econometrics and Statistics Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business
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78
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2
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panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model
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7.
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Koopman, Siem Jan
VU University Amsterdam Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research
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33
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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods
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8.
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Lucas, Andre
VU University Amsterdam - Faculty of Economics and Business Schwaab, Bernd
European Central Bank (ECB) - Directorate General Research Zhang, Xin
European Central Bank (ECB) - Directorate General Research
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1
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systemic risk, dynamic equicorrelation model, generalized hyperbolic distribution, Law of Large Numbers
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