Til Schuermann

Oliver Wyman

1166 6th Avenue

New York City, NY

United States

SCHOLARLY PAPERS

45

DOWNLOADS
Rank 586

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Top 586

in Total Papers Downloads

52,070

SSRN CITATIONS
Rank 1,090

SSRN RANKINGS

Top 1,090

in Total Papers Citations

381

CROSSREF CITATIONS

704

Scholarly Papers (45)

Understanding the Securitization of Subprime Mortgage Credit

Wharton Financial Institutions Center Working Paper No. 07-43, FRB of New York Staff Report, No. 318
Number of pages: 82 Posted: 14 Dec 2007 Last Revised: 11 Mar 2008
Adam B. Ashcraft and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 14,536 (363)
Citation 184

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subprime mortgage credit, securitization, rating agencies, principal agent, moral hazard

Understanding the Securitization of Subprime Mortgage Credit

Foundations and Trends in Finance, Vol. 2, No. 3, pp. 191-309, 2006
Number of pages: 119 Posted: 14 Jun 2010
Adam B. Ashcraft and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 15 (769,893)
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Subprime mortgage credit, securitization, rating agencies, principal agent, moral hazard

2.

What Do We Know About Loss Given Default?

Wharton Financial Institutions Center Working Paper No. 04-01
Number of pages: 30 Posted: 02 Jul 2004
Til Schuermann
Oliver Wyman
Downloads 3,980 (3,648)
Citation 98

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New Basel Accord, credit risk

3.

Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management

NYU Working Paper No. FIN-99-062
Number of pages: 16 Posted: 11 Nov 2008
Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 2,671 (7,074)
Citation 1

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4.

The New Basel Accord and Questions for Research

Wharton Financial Institutions Center Working Paper No. 03-14
Number of pages: 35 Posted: 11 Jun 2003
Marc R. Saidenberg and Til Schuermann
affiliation not provided to SSRN and Oliver Wyman
Downloads 2,220 (9,485)
Citation 17

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Bank capital regulation, risk management, credit risk, operational risk

5.

What We Know, Don't Know and Can't Know About Bank Risks: A View from the Trenches

Wharton Financial Institutions Center Working Paper No. 06-05
Number of pages: 58 Posted: 07 Mar 2006
Andrew Kuritzkes and Til Schuermann
Oliver, Wyman & Company, LLC. and Oliver Wyman
Downloads 2,141 (10,106)
Citation 6

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risk measurement, risk management, capital adequacy

6.

Stress Testing Convergence

Number of pages: 19 Posted: 29 Jul 2015
New York University (NYU) - Leonard N. Stern School of Business, Students, Oliver Wyman and Oliver Wyman
Downloads 2,011 (11,258)
Citation 2

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risk management, capital requirements, CCAR, systemic risk, bank performance

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Number of pages: 58 Posted: 14 May 2004
Joshua V. Rosenberg and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 1,010 (31,269)
Citation 57

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Market risk, credit risk, operational risk, risk diversification, copula

A General Approach to Integrated Risk Management with Skewed, Fat-Tailed Risk

Journal of Financial Economics, Forthcoming, FRB of New York Staff Report No. 185
Number of pages: 70 Posted: 10 Feb 2006
Joshua V. Rosenberg and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 928 (35,213)
Citation 1

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Market risk, credit risk, operational risk, risk diversification, copula

8.
Downloads 1,918 ( 12,105)
Citation 13

Hedge Funds, Financial Intermediation, and Systemic Risk

Economic Policy Review, Vol. 13, No. 3, December 2007
Number of pages: 18 Posted: 07 Sep 2007 Last Revised: 14 Dec 2007
John Kambhu, Til Schuermann and Kevin J. Stiroh
Federal Reserve Bank of New York, Oliver Wyman and Federal Reserve Bank of New York
Downloads 1,164 (25,441)

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banks, counterparty credit risk management, liquidity

Hedge Funds, Financial Intermediation, and Systemic Risk

Number of pages: 32 Posted: 22 Jun 2007
John Kambhu, Kevin J. Stiroh and Til Schuermann
Federal Reserve Bank of New York, Federal Reserve Bank of New York and Oliver Wyman
Downloads 754 (46,837)
Citation 16

Abstract:

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banks, counterparty credit risk management, liquidity

9.

Estimating Probabilities of Default

Number of pages: 36 Posted: 28 Jul 2004
Samuel Gregory Hanson and Til Schuermann
Harvard University - Business School (HBS) and Oliver Wyman
Downloads 1,641 (15,495)
Citation 3

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Risk management, credit risk, bootstrap, confidence intervals

10.

Stress Testing Banks

Number of pages: 27 Posted: 17 Apr 2012 Last Revised: 03 Jun 2013
Til Schuermann
Oliver Wyman
Downloads 1,617 (15,827)
Citation 29

Abstract:

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capital requirements, leverage, systemic risk

11.

Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing

Number of pages: 46 Posted: 02 May 2001
Anil Bangia, Francis X. Diebold and Til Schuermann
Oliver, Wyman & Company, LLC., University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 1,527 (17,280)
Citation 36

Abstract:

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Credit risk, stress testing, ratings migration, credit portfolio management

12.

Horizon Problems and Extreme Events in Financial Risk Management

Economic Policy Review, Vol. 4, No. 3, October 1998, Wharton Financial Institutions Center 98-16
Number of pages: 10 Posted: 10 Feb 1999
University of Toronto - Rotman School of Management, University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 1,255 (23,173)
Citation 30

Abstract:

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capital regulation

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

FDIC CRF Working Paper 2006-03, AFA 2007 Chicago Meetings Paper
Number of pages: 35 Posted: 17 Feb 2006
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 903 (36,631)
Citation 3

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Liquidity, banking, financial crisis

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

NBER Working Paper No. w12234
Number of pages: 38 Posted: 25 May 2006 Last Revised: 06 Jun 2022
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 96 (375,041)
Citation 10

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Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

The Review of Financial Studies, Vol. 22, Issue 3, pp. 995-1020, 2009
Posted: 17 Mar 2009
Evan Gatev, Til Schuermann and Philip E. Strahan
Simon Fraser University, Oliver Wyman and Boston College - Department of Finance

Abstract:

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G18, G21

14.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Number of pages: 70 Posted: 21 Aug 2003
University of Southern California - Department of Economics, Oliver Wyman, Mercer Oliver Wyman and Alliance Capital Management
Downloads 954 (34,411)
Citation 9

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

15.

Metrics for Comparing Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-09
Number of pages: 43 Posted: 09 May 2003
Yusuf Jafry and Til Schuermann
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 904 (37,111)
Citation 6

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credit migration matrix, matrix norm, mobility indices, singular values, risk management

16.

Macroeconomics and Credit Risk: A Global Perspective

Journal of Money, Credit, and Banking, Forthcoming, Wharton Financial Institutions Center Working Paper No. 03-13
Number of pages: 60 Posted: 17 May 2003
University of Southern California - Department of Economics, Mercer Oliver Wyman, Oliver Wyman and Alliance Capital Management
Downloads 819 (42,528)
Citation 14

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Risk management, economic interlinkages, loss forecasting, default correlation

17.

Deposit Insurance and Risk Management: How Much? How Safe? Who Pays?

Wharton Financial Inst. Working Paper No. 02-02
Number of pages: 58 Posted: 16 Jan 2002
Andrew Kuritzkes, Scott M. Weiner and Til Schuermann
Oliver, Wyman & Company, LLC., Alliance Capital Management and Oliver Wyman
Downloads 775 (45,733)
Citation 10

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Deposit insurance pricing, loss distribution, risk-based premiums.

18.

Objectives and Challenges for Stress Testing

Forthcoming in J. Doyne Farmer, Alissa Kleinnijenhuis, Til Schuermann, Thom Wetzer (eds.), Handbook of Financial Stress Testing, Cambridge University Press
Number of pages: 35 Posted: 01 Jan 2020
Richard J. Herring and Til Schuermann
University of Pennsylvania - Finance Department and Oliver Wyman
Downloads 745 (48,243)
Citation 1

Abstract:

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risk measurement, risk management, capital adequacy, macroprudential policy

19.

Banks and Climate Change Risk

Number of pages: 46 Posted: 18 Nov 2021 Last Revised: 11 Dec 2021
Oliver Wyman, Oliver Wyman, Oliver Wyman and Oliver Wyman
Downloads 637 (59,144)

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20.

Macroprudential Supervision of Financial Institutions: Lessons from the SCAP

FRB of New York Staff Report No. 409
Number of pages: 17 Posted: 30 Nov 2009
Beverly Hirtle, Til Schuermann and Kevin J. Stiroh
Federal Reserve Bank of New York - Banking Studies Department, Oliver Wyman and Federal Reserve Bank of New York
Downloads 616 (61,748)
Citation 63

Abstract:

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bank stress test, macroprudential, SCAP, bank supervision

21.
Downloads 613 ( 61,886)
Citation 9

Confidence Intervals for Probabilities of Default

Number of pages: 44 Posted: 05 Aug 2005
Samuel Gregory Hanson and Til Schuermann
Harvard University - Business School (HBS) and Oliver Wyman
Downloads 613 (61,405)
Citation 9

Abstract:

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Risk management, credit risk, bootstrap

Confidence Intervals for Probabilities of Default

Journal of Banking & Finance, Forthcoming
Posted: 10 Feb 2006
Samuel Gregory Hanson and Til Schuermann
Harvard University - Business School (HBS) and Oliver Wyman

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Risk management, credit risk, bootstrap

22.

Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management

Wharton Financial Institutions Center Working Paper No. 15-01
Number of pages: 12 Posted: 30 Jan 2015
Jeffrey Brown, Brad McGourty and Til Schuermann
Oliver Wyman, Oliver Wyman and Oliver Wyman
Downloads 605 (63,174)
Citation 1

Abstract:

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commercial banks, risk management, systemic risk

23.
Downloads 595 ( 64,508)
Citation 30

Credit Rating Dynamics and Markov Mixture Models

Wharton Financial Institutions Center Working Paper No. 04-15
Number of pages: 25 Posted: 01 Oct 2004
Halina Frydman and Til Schuermann
New York University (NYU) - Department of Information, Operations, and Management Sciences and Oliver Wyman
Downloads 399 (103,681)
Citation 9

Abstract:

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Risk management, credit risk, credit derivatives

Credit Rating Dynamics and Markov Mixture Models

NYU Working Paper No. S-CDM-04-08
Number of pages: 25 Posted: 05 Nov 2008
Halina Frydman and Til Schuermann
New York University (NYU) - Department of Information, Operations, and Management Sciences and Oliver Wyman
Downloads 196 (215,393)
Citation 3

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Risk management, credit risk, credit derivatives

Credit Rating Dynamics and Markov Mixture Models

Journal of Banking and Finance, Forthcoming, Wharton Financial Institutions Center Working Paper No. 04-15
Posted: 18 Jul 2009
Halina Frydman and Til Schuermann
New York University (NYU) - Department of Information, Operations, and Management Sciences and Oliver Wyman

Abstract:

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Risk management, credit risk, credit derivatives

24.

Stress Testing Bank Profitability

Number of pages: 22 Posted: 28 Oct 2013
Til Schuermann, Michael Duane and Peter Reynolds
Oliver Wyman, Oliver Wyman and Oliver Wyman
Downloads 549 (71,437)

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revenue dynamics, capital requirements, leverage, systemic risk

25.

Capital Regulation for Position Risk in Banks, Securities Firms and Insurance Companies

Wharton Financial Institutions Working Paper No. 04-11
Number of pages: 108 Posted: 26 Jul 2004
Richard J. Herring and Til Schuermann
University of Pennsylvania - Finance Department and Oliver Wyman
Downloads 548 (71,612)
Citation 9

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Risk management, Value-at-Risk, Capital Regulation, Market Risk

26.

Measurement and Estimation of Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-08
Number of pages: 44 Posted: 09 May 2003
Yusuf Jafry and Til Schuermann
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 547 (71,780)
Citation 15

Abstract:

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Credit risk, risk management, matrix norms, bootstrapping, credit derivatives

27.

Bank Capital for Operational Risk: A Tale of Fragility and Instability

Number of pages: 26 Posted: 15 Feb 2014 Last Revised: 12 Feb 2015
Mark Ames, Til Schuermann and Hal S. Scott
Oliver Wyman, Oliver Wyman and Harvard Law School
Downloads 501 (80,024)
Citation 8

Abstract:

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model risk, bank capital, bank regulation

28.

Visible and Hidden Risk Factors for Banks

FRB of New York Staff Report No. 252
Number of pages: 46 Posted: 21 Jul 2006
Kevin J. Stiroh and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 470 (86,372)

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commercial banks, risk management, portfolio choice, systemic risk

29.

Why Were Banks Better Off in the 2001 Recession?

Number of pages: 7 Posted: 06 Oct 2004
Til Schuermann
Oliver Wyman
Downloads 430 (95,872)
Citation 1

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risk management, bank performance, risk-based pricing, diversification

30.

Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model

Wharton Financial Institutions Center Working Paper No. 01-38
Number of pages: 56 Posted: 14 Dec 2001
M. Hashem Pesaran, Scott M. Weiner and Til Schuermann
University of Southern California - Department of Economics, Alliance Capital Management and Oliver Wyman
Downloads 364 (115,964)
Citation 103

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Economic interlinkages, global macroeconometric modeling, risk management

31.

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

NYU Working Paper No. FIN-98-081
Number of pages: 13 Posted: 11 Nov 2008
Francis X. Diebold, Til Schuermann and John Stroughair
University of Pennsylvania - Department of Economics, Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 353 (119,977)
Citation 3

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32.
Downloads 327 (130,347)
Citation 11

Global Business Cycles and Credit Risk

CESifo Working Paper Series No. 1548
Number of pages: 61 Posted: 05 Aug 2005
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 269 (158,732)

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Risk management, default dependence, economic interlinkages, portfolio choice

Global Business Cycles and Credit Risk

NBER Working Paper No. w11493
Number of pages: 56 Posted: 29 Aug 2005 Last Revised: 29 May 2022
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 58 (498,748)

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33.

Scope for Credit Risk Diversification

IEPR Working Paper No. 05.18
Number of pages: 63 Posted: 14 Mar 2005
University of Southern California - Department of Economics, Harvard University - Business School (HBS) and Oliver Wyman
Downloads 321 (132,852)

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Risk management, correlated defaults, credit loss distributions, heterogeneity, diversification

34.
Downloads 260 (164,993)
Citation 10

Robust Capital Regulation

FRB of New York Staff Report No. 490
Number of pages: 22 Posted: 25 Apr 2011 Last Revised: 06 Jul 2011
ProfessorNew York University - Leonard N. Stern School of Business, Independent, Oliver Wyman and Washington University, Saint Louis - John M. Olin School of Business
Downloads 250 (170,838)
Citation 14

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capital requirements, leverage, systemic risk

Robust Capital Regulation

CEPR Discussion Paper No. DP8792
Number of pages: 24 Posted: 31 Jan 2012
ProfessorNew York University - Leonard N. Stern School of Business, Independent, Oliver Wyman and Washington University, Saint Louis - John M. Olin School of Business
Downloads 10 (820,013)
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capital requirements, leverage, market discipline, model risk, systemic risk

35.

Risk Dependence, Solvency and Stress Testing for Insurers

Number of pages: 66 Posted: 26 Jan 2017
Scott Campion and Til Schuermann
Oliver Wyman and Oliver Wyman
Downloads 250 (171,426)

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Insurance Risk, Capital Adequacy, Risk Correlations, Non-Financial Risk

36.

Firm Heterogeneity and Credit Risk Diversification

CESifo Working Paper Series No. 1531
Number of pages: 52 Posted: 05 Aug 2005
University of Southern California - Department of Economics, Harvard University - Business School (HBS) and Oliver Wyman
Downloads 241 (177,636)
Citation 6

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Risk management, correlated defaults, factor models, portfolio choice

37.

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

Number of pages: 54 Posted: 11 Jun 2005
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 213 (199,629)
Citation 6

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Risk management, default dependence, economic interlinkages, portfolio choice

38.

Forecasting Economic and Financial Variables with Global VARs

CESifo Working Paper Series No. 2263, IEPR Working Paper No. 08.2, FRB of New York Staff Report, No. 317, Wharton Financial Institutions Center Working Paper No. 08-05
Number of pages: 67 Posted: 06 Feb 2008
M. Hashem Pesaran, L. Vanessa Smith and Til Schuermann
University of Southern California - Department of Economics, University of York - Department of Economics and Related Studies and Oliver Wyman
Downloads 202 (209,683)
Citation 11

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forecasting using GVAR, structural breaks and forecasting, average forecasts across models and windows, financial and macroeconomic forecasts

39.

Stress Testing in Wartime and in Peacetime

Number of pages: 13 Posted: 22 Feb 2016 Last Revised: 23 Feb 2016
Til Schuermann
Oliver Wyman
Downloads 196 (215,487)
Citation 12

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risk management, capital requirements, CCAR, systemic risk, financial stability

40.

Stress Testing for Commercial, Investment and Custody Banks

Handbook of Financial Stress Testing, Forthcoming
Number of pages: 46 Posted: 02 Mar 2020
Oliver Wyman, Oliver Wyman, Oliver Wyman, Oliver Wyman, Oliver Wyman and Federal Reserve Banks - Federal Reserve Bank of Richmond
Downloads 147 (274,578)

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risk management, capital adequacy, bank regulation, financial crisis

41.

Robust Capital Regulation

Current Issues in Economics and Finance, Vol. 18, No. 4, 2012
Number of pages: 11 Posted: 30 May 2012
New York University (NYU) - Leonard N. Stern School of Business, Independent, Oliver Wyman and Washington University, Saint Louis - John M. Olin School of Business
Downloads 130 (301,950)
Citation 3

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Treasury, Supplementary Financing Program , Treasury General Account, Treasury Tax and Loan Note account, cash management , Supplementary Financing Program

42.

How Do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998

NBER Working Paper No. w10982
Number of pages: 37 Posted: 15 Dec 2004 Last Revised: 06 Jul 2022
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 93 (379,646)
Citation 3

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43.

Capital Adequacy Pre- and Post-Crisis and the Role of Stress Testing

Journal of Money, Credit & Banking (Forthcoming)
Number of pages: 32 Posted: 26 Dec 2019 Last Revised: 30 Dec 2019
Til Schuermann
Oliver Wyman
Downloads 87 (395,448)

Abstract:

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risk management, financial crisis, bank regulation

44.

Stressing the Fed Stress Tests Against COVID-19

Number of pages: 20 Posted: 01 Jul 2020
Simon Potter and Til Schuermann
Peterson Institute for International Economics and Oliver Wyman
Downloads 78 (421,588)
Citation 1

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capital adequacy, risk management, crisis

45.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194
Number of pages: 24 Posted: 27 Aug 2000 Last Revised: 15 Jul 2022
Francis X. Diebold and Til Schuermann
University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 31 (623,639)

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Other Papers (1)

Total Downloads: 14
1.

Liquidity, Returns and Investor Heterogeneity in the Corporate Bond Markets

Number of pages: 38 Posted: 17 Mar 2008 Last Revised: 02 Jul 2020
Robert Guo, Asani Sarkar and Til Schuermann
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Oliver Wyman
Downloads 14

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corporate bonds, liquidity, retail traders, institutions