Til Schuermann

Oliver Wyman

1166 6th Avenue

New York City, NY

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 341

SSRN RANKINGS

Top 341

in Total Papers Downloads

45,143

CITATIONS
Rank 640

SSRN RANKINGS

Top 640

in Total Papers Citations

777

Scholarly Papers (40)

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 14,087 (199)
Citation 102

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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 (536,145)
Citation 102
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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 3,251 (2,881)
Citation 49

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New Basel Accord, credit risk

3.

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 2,152 (5,779)
Citation 9

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

4.

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 - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 1,960 (6,776)
Citation 23

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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 1,874 (7,327)
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 1,860 (7,418)

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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

FRB of New York Staff Report No. 185
Number of pages: 58 Posted: 14 May 2004
Joshua V. Rosenberg and Til Schuermann
Federal Reserve Bank of New York and Oliver Wyman
Downloads 955 (20,880)
Citation 33

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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 841 (25,172)
Citation 33

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

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 1,015 (19,013)
Citation 12

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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 728 (30,771)
Citation 12

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banks, counterparty credit risk management, liquidity

9.

Estimating Probabilities of Default

FRB of New York Staff Report No. 190
Number of pages: 36 Posted: 28 Jul 2004
Samuel Gregory Hanson and Til Schuermann
Harvard Business School and Oliver Wyman
Downloads 1,520 (10,348)
Citation 7

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Risk management, credit risk, bootstrap, confidence intervals

10.

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

PIER Working Paper No. 01-004
Number of pages: 46 Posted: 02 May 2001
Anil Bangia, Francis X. Diebold and Til Schuermann
Oliver, Wyman & Company, LLC., University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and Oliver Wyman
Downloads 1,387 (12,040)
Citation 107

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

11.

Stress Testing Banks

Number of pages: 27 Posted: 17 Apr 2012 Last Revised: 03 Jun 2013
Til Schuermann
Oliver Wyman
Downloads 1,366 (12,336)
Citation 2

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capital requirements, leverage, systemic risk

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 - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and Oliver Wyman
Downloads 1,117 (16,821)
Citation 20

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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 858 (24,439)
Citation 30

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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: 27 Jul 2006
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 63 (329,680)
Citation 30

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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

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G18, G21

14.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

CESifo Working Paper Series No. 995
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 900 (23,198)
Citation 56

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

15.

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 766 (29,115)
Citation 53

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Risk management, economic interlinkages, loss forecasting, default correlation

16.

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 727 (31,314)
Citation 1

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

17.

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 683 (34,127)
Citation 8

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

18.

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 530 (47,558)
Citation 10

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

19.
Downloads 519 ( 48,847)
Citation 19

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 384 (69,999)
Citation 19

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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 135 (199,126)
Citation 19

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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

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Risk management, credit risk, credit derivatives

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 513 (49,568)
Citation 12

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bank stress test, macroprudential, SCAP, bank supervision

21.

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 472 (55,069)
Citation 33

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

22.

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 442 (59,658)

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revenue dynamics, capital requirements, leverage, systemic risk

23.

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 428 (62,081)

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model risk, bank capital, bank regulation

24.

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 426 (62,440)
Citation 7

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commercial banks, risk management, portfolio choice, systemic risk

25.
Downloads 411 ( 64,782)
Citation 21

Confidence Intervals for Probabilities of Default

Number of pages: 44 Posted: 05 Aug 2005
Samuel Gregory Hanson and Til Schuermann
Harvard Business School and Oliver Wyman
Downloads 411 (64,547)
Citation 21

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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 Business School and Oliver Wyman

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Risk management, credit risk, bootstrap

26.

Why Were Banks Better Off in the 2001 Recession?

Current Issues in Economics and Finance, Vol. 10, No. 1, January 2004
Number of pages: 7 Posted: 06 Oct 2004
Til Schuermann
Oliver Wyman
Downloads 373 (73,091)
Citation 9

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

27.

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 - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), Oliver Wyman and Oliver, Wyman & Company, LLC.
Downloads 328 (84,813)
Citation 41

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28.

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 315 (88,684)
Citation 52

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Economic interlinkages, global macroeconometric modeling, risk management

29.
Downloads 313 ( 89,349)
Citation 9

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 262 (107,695)
Citation 9

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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
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 51 (366,072)
Citation 9

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30.

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 Business School and Oliver Wyman
Downloads 303 (92,613)

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

31.

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 295 (95,379)

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commercial banks, risk management, systemic risk

32.
Downloads 233 (122,011)
Citation 3

Robust Capital Regulation

FRB of New York Staff Report No. 490
Number of pages: 22 Posted: 25 Apr 2011 Last Revised: 06 Jul 2011
New York University - Leonard N. Stern School of Business, Independent, Oliver Wyman and Washington University, Saint Louis - John M. Olin School of Business
Downloads 223 (127,027)
Citation 3

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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
New York University - Leonard N. Stern School of Business, Independent, Oliver Wyman and Washington University, Saint Louis - John M. Olin School of Business
Downloads 10 (567,090)
Citation 3
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capital requirements, leverage, market discipline, model risk, systemic risk

33.

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 Business School and Oliver Wyman
Downloads 219 (129,717)
Citation 13

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Risk management, correlated defaults, factor models, portfolio choice

34.

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 192 (146,837)

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

35.

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

IEPR Working Paper No. 05.25
Number of pages: 54 Posted: 11 Jun 2005
University of Southern California - Department of Economics, Mercer Oliver Wyman and Oliver Wyman
Downloads 184 (152,595)
Citation 3

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Risk management, default dependence, economic interlinkages, portfolio choice

36.

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 and Oliver Wyman
Downloads 169 (164,646)
Citation 11

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

37.

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 133 (200,796)

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

38.

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 110 (231,769)

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

39.

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 2010
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 84 (276,849)
Citation 17

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40.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194
Number of pages: 24 Posted: 27 Aug 2000 Last Revised: 23 Oct 2010
Francis X. Diebold and Til Schuermann
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE) and Oliver Wyman
Downloads 26 (456,843)

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