Julia Schaumburg

Tinbergen Institute

Gustav Mahlerplein 117

Amsterdam, 1082 MS

Netherlands

http://juliaschaumburg.com

VU University Amsterdam

De Boelelaan 1105

Amsterdam, ND North Holland 1081 HV

Netherlands

http://juliaschaumburg.com

SCHOLARLY PAPERS

8

DOWNLOADS

585

CITATIONS
Rank 33,062

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Top 33,062

in Total Papers Citations

6

Scholarly Papers (8)

1.

Financial Network Systemic Risk Contributions

Number of pages: 57 Posted: 26 Aug 2013
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, Tinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 191 (154,816)
Citation 5

Abstract:

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systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Federico Nucera, Andre Lucas, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 88 (283,807)

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

Do Negative Interest Rates Make Banks Less Safe?

ECB Working Paper No. 2098
Number of pages: 17 Posted: 14 Sep 2017
Federico Nucera, Andre Lucas, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 24 (502,225)

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negative interest rates, bank business model, systemic risk, unconventional monetary policy measures

3.

Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models

Tinbergen Institute Discussion Paper 14-107/III
Number of pages: 48 Posted: 15 Aug 2014 Last Revised: 18 Aug 2014
VU University Amsterdam, Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam - School of Business and Economics and Tinbergen Institute
Downloads 88 (281,465)

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Spatial correlation, time-varying parameters, systemic risk, European debt crisis, generalized autoregressive score

4.

Forecasting Systemic Impact in Financial Networks

Number of pages: 28 Posted: 26 Aug 2013
Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, Tinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 78 (302,802)
Citation 1

Abstract:

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forecasting systemic risk contributions, time-varying systemic risk network, model selection with regularization in quantiles

5.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Andre Lucas, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 41 (411,027)

Abstract:

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Bank Business Models; Clustering; Finite Mixture Model; Score-Driven Model; Low Interest Rate

6.

Bank Business Models at Zero Interest Rates

Tinbergen Institute Discussion Paper 16-066/IV
Number of pages: 56 Posted: 30 Aug 2016
Andre Lucas, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Tinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 35 (434,781)

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bank business models, clustering, finite mixture model, score-driven model, low interest rates

Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?

De Nederlandsche Bank Working Paper No. 619
Number of pages: 42 Posted: 24 Dec 2018
Dieter Wang, Iman van Lelyveld and Julia Schaumburg
Tinbergen Institute, De Nederlandsche Bank and Tinbergen Institute
Downloads 10 (591,291)

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Information contagion, credit spread puzzle, bank business model similarities, portfolio overlap measure, dynamic network effects model

Do Information Contagion and Business Model Similarities Explain Bank Credit Risk Commonalities?

Tinbergen Institute Discussion Paper 2018-100/IV
Number of pages: 36 Posted: 02 Jan 2019
Dieter Wang, Iman van Lelyveld and Julia Schaumburg
Tinbergen Institute, De Nederlandsche Bank and Tinbergen Institute
Downloads 10 (591,291)

Abstract:

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Information contagion, credit spread puzzle, bank business model similarities, portfolio overlap measure, dynamic network effects model

8.

Accounting for Missing Values in Score-Driven Time-Varying Parameter Models

Tinbergen Institute Discussion Paper 16-067/IV
Number of pages: 7 Posted: 31 Aug 2016
Andre Lucas, Anne Opschoor and Julia Schaumburg
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and Tinbergen Institute
Downloads 20 (509,579)

Abstract:

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generalized autoregressive score models, missing completely at random, Expectation-Maximization