Til Schuermann

Oliver Wyman

1166 6th Avenue

New York City, NY

United States

SCHOLARLY PAPERS

40

DOWNLOADS
Rank 307

SSRN RANKINGS

Top 307

in Total Papers Downloads

43,547

CITATIONS
Rank 642

SSRN RANKINGS

Top 642

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 13,926 (172)
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 (500,790)
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 2,151 (3,046)
Citation 49

Abstract:

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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 2,088 (5,126)
Citation 9

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

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 948 (18,937)
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 821 (23,462)
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 1,008 (17,216)
Citation 13

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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 725 (28,028)
Citation 13

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banks, counterparty credit risk management, liquidity

6.

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 1,531 (7,114)
Citation 6

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risk measurement, risk management, capital adequacy

7.

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 1,395 (7,603)
Citation 23

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8.

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 1,345 (9,355)
Citation 7

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Risk management, credit risk, bootstrap, confidence intervals

9.

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 - Department of Economics and Oliver Wyman
Downloads 1,306 (11,007)
Citation 107

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

10.

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 955 (16,052)
Citation 20

Abstract:

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capital regulation

11.

Stress Testing Banks

Number of pages: 27 Posted: 17 Apr 2012 Last Revised: 03 Jun 2013
Til Schuermann
Oliver Wyman
Downloads 913 (12,920)
Citation 2

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capital requirements, leverage, systemic risk

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 848 (22,374)
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
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 62 (307,471)
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

13.

Macroeconomic Dynamics and Credit Risk: A Global Perspective

CESifo Working Paper Series No. 995
Number of pages: 70 Posted: 21 Aug 2003
USC Dornsife Institute for New Economic Thinking, Oliver Wyman , Mercer Oliver Wyman and Alliance Capital Management
Downloads 775 (21,210)
Citation 56

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Risk Management, Economic Interlinkages, Loss Forecasting, Default Correlation

14.

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
USC Dornsife Institute for New Economic Thinking, Mercer Oliver Wyman, Oliver Wyman and Alliance Capital Management
Downloads 742 (26,466)
Citation 53

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Risk management, economic interlinkages, loss forecasting, default correlation

15.

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 692 (28,990)
Citation 1

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

16.

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 510 (36,078)
Citation 8

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

17.
Downloads 501 ( 46,401)
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 381 (64,323)
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 120 (201,205)
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

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 483 (43,887)
Citation 10

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

19.

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 403 (50,638)
Citation 33

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

20.

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 390 (60,395)
Citation 7

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commercial banks, risk management, portfolio choice, systemic risk

21.
Downloads 382 ( 64,335)
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 382 (64,123)
Citation 21

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 Business School and Oliver Wyman

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Risk management, credit risk, bootstrap

22.

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 360 (49,702)
Citation 12

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bank stress test, macroprudential, SCAP, bank supervision

23.

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 329 (69,581)
Citation 9

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

24.

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 317 (77,847)
Citation 41

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25.
Downloads 310 ( 82,332)
Citation 9

Global Business Cycles and Credit Risk

CESifo Working Paper Series No. 1548
Number of pages: 61 Posted: 05 Aug 2005
USC Dornsife Institute for New Economic Thinking, Mercer Oliver Wyman and Oliver Wyman
Downloads 260 (99,328)
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
USC Dornsife Institute for New Economic Thinking, Mercer Oliver Wyman and Oliver Wyman
Downloads 50 (342,208)
Citation 9

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26.

Scope for Credit Risk Diversification

IEPR Working Paper No. 05.18
Number of pages: 63 Posted: 14 Mar 2005
USC Dornsife Institute for New Economic Thinking, Harvard Business School and Oliver Wyman
Downloads 288 (85,119)

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

27.

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
USC Dornsife Institute for New Economic Thinking, Alliance Capital Management and Oliver Wyman
Downloads 287 (84,146)
Citation 51

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Economic interlinkages, global macroeconometric modeling, risk management

28.

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 282 (60,579)

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model risk, bank capital, bank regulation

29.

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 232 (60,946)

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revenue dynamics, capital requirements, leverage, systemic risk

30.
Downloads 228 (114,271)
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 218 (119,046)
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 (529,640)
Citation 3
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capital requirements, leverage, market discipline, model risk, systemic risk

31.

Firm Heterogeneity and Credit Risk Diversification

CESifo Working Paper Series No. 1531
Number of pages: 52 Posted: 05 Aug 2005
USC Dornsife Institute for New Economic Thinking, Harvard Business School and Oliver Wyman
Downloads 209 (118,884)
Citation 13

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Risk management, correlated defaults, factor models, portfolio choice

32.

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
USC Dornsife Institute for New Economic Thinking, Mercer Oliver Wyman and Oliver Wyman
Downloads 157 (148,231)
Citation 3

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Risk management, default dependence, economic interlinkages, portfolio choice

33.

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
USC Dornsife Institute for New Economic Thinking, University of York and Oliver Wyman
Downloads 155 (156,115)
Citation 11

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

34.

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 A. Brown, Brad McGourty and Til Schuermann
Oliver Wyman, Oliver Wyman and Oliver Wyman
Downloads 151 (95,958)

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commercial banks, risk management, systemic risk

35.

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 81 (216,491)

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

36.

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
Evan Gatev, Philip E. Strahan and Til Schuermann
Simon Fraser University, Boston College - Department of Finance and Oliver Wyman
Downloads 76 (259,716)
Citation 17

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37.

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 57 (6,888)

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

38.

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

NBER Working Paper No. t0194
Number of pages: 24 Posted: 27 Aug 2000
Francis X. Diebold and Til Schuermann
University of Pennsylvania - Department of Economics and Oliver Wyman
Downloads 26 (425,173)

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39.

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 0 (174,398)

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

40.

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 0 (201,720)

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