Bernd Schwaab

European Central Bank (ECB) - Directorate General Research

Kaiserstrasse 29

D-60311 Frankfurt am Main

Germany

SCHOLARLY PAPERS

26

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Top 15,522

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6,595

TOTAL CITATIONS
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Top 5,548

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231

Scholarly Papers (26)

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

ECB Working Paper No. 1327
Number of pages: 38 Posted: 19 Apr 2011
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 635 (86,237)

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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

Tinbergen Institute Discussion Paper 10-104/DSF 2
Number of pages: 33 Posted: 03 Dec 2010
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 229 (273,465)
Citation 12

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financial crisis, systemic risk, credit portfolio models, frailty-correlated defaults, state space methods

2.

Assessing Asset Purchases within the ECB’s Securities Markets Programme

ECB Working Paper No. 1587
Number of pages: 38 Posted: 13 Sep 2013
Fabian Eser and Bernd Schwaab
European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 643 (85,784)

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Central bank asset purchases, European Central Bank, Securities Markets Programme, effectiveness of non-standard monetary policy measures

3.

Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic

ECB Working Paper No. 2021/2561
Number of pages: 40 Posted: 01 Jun 2021
Stefano Corradin, Niklas Grimm and Bernd Schwaab
European Central Bank (ECB), European Central Bank, Financial Research Division and European Central Bank (ECB) - Directorate General Research
Downloads 497 (118,469)
Citation 19

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Modeling Financial Sector Joint Tail Risk in the Euro Area

Tinbergen Institute Discussion Paper 13-063/IV/DSF56
Number of pages: 36 Posted: 18 May 2013 Last Revised: 13 Oct 2014
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 344 (179,325)
Citation 8

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systemic risk; dynamic equicorrelation; generalized hyperbolic distribution; law of large numbers; large portfolio approximation.

Modeling Financial Sector Joint Tail Risk in the Euro Area

Riksbank Research Paper Series No. 132, Sveriges Riksbank Working Paper Series No. 308
Number of pages: 36 Posted: 22 Dec 2015
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 55 (774,944)

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dynamic equicorrelation, generalized hyperbolic distribution, law of large numbers, large portfolio approximation

Modeling Financial Sector Joint Tail Risk in the Euro Area

ECB Working Paper No. 1837
Number of pages: 48 Posted: 26 Aug 2015
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 47 (832,616)
Citation 1

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Dynamic panel data; Time-invariant variables; Two-stage estimation; System GMM; Dynamic gravity equation

Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

Journal of Empirical Finance, Vol. 49, 2018
Number of pages: 42 Posted: 29 May 2015 Last Revised: 25 Apr 2019
Johannes Breckenfelder and Bernd Schwaab
European Central Bank (ECB) - Financial Research and European Central Bank (ECB) - Directorate General Research
Downloads 379 (161,092)
Citation 4

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bank-sovereign nexus, risk spillovers, stress test, European Central Bank, Comprehensive Assessment

Bank to Sovereign Risk Spillovers Across Borders: Evidence from the ECB's Comprehensive Assessment

ECB Working Paper No. 2193
Number of pages: 46 Posted: 07 Nov 2018
Johannes Breckenfelder and Bernd Schwaab
European Central Bank (ECB) - Financial Research and European Central Bank (ECB) - Directorate General Research
Downloads 38 (908,088)
Citation 14

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bank-sovereign nexus, risk spillovers, stress test, European Central Bank, Comprehensive Assessment

6.
Downloads 373 (165,472)
Citation 4

Dynamic Clustering of Multivariate Panel Data

ECB Working Paper No. 2021/2577
Number of pages: 54 Posted: 30 Jul 2021
VU University Amsterdam, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 210 (297,130)
Citation 3

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Dynamic Clustering of Multivariate Panel Data

Tinbergen Institute Discussion Paper 2020-009/III
Number of pages: 47 Posted: 05 Mar 2020
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 163 (374,715)
Citation 1

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dynamic clustering, panel data, Hidden Markov Model, score-driven dynamics, bank business models

7.

Conditional Probabilities for Euro Area Sovereign Default Risk

Tinbergen Institute Discussion Paper No. 11-176/2/DSF29
Number of pages: 37 Posted: 14 Dec 2011 Last Revised: 29 Jun 2012
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 354 (175,309)
Citation 5

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sovereign credit risk, higher order moments, time-varying parameters, financial stability

8.

Macro, Frailty, and Contagion Effects in Defaults: Lessons from the 2008 Credit Crisis

Tinbergen Institute Discussion Paper 10-004/2
Number of pages: 36 Posted: 27 Jan 2010 Last Revised: 05 Sep 2010
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and European Central Bank (ECB) - Directorate General Research
Downloads 304 (206,476)
Citation 1

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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods, doubly stochastic default times

9.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
Aarhus University - School of Business and Social Sciences, New York University (NYU) - Department of Finance, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 283 (222,499)
Citation 4

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Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Tinbergen Institute Discussion Paper 11-042/DSF 16
Number of pages: 43 Posted: 22 Feb 2011
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 141 (423,368)
Citation 14

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panel data, loss given default, default risk, dynamic beta density, dynamic ordered probit, dynamic factor model

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

ECB Working Paper No. 1626
Number of pages: 43 Posted: 04 Jan 2014
University of Chicago - Booth School of Business - Econometrics and Statistics, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 109 (518,887)

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panel data; loss given default; default risk; dynamic beta density; dynamic ordered probit; dynamic factor model

11.
Downloads 228 (276,005)
Citation 34

Do Negative Interest Rates Make Banks Less Safe?

Tinbergen Institute Discussion Papers, 2017
Number of pages: 9 Posted: 26 Apr 2017
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 137 (433,289)
Citation 25

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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
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 91 (588,236)
Citation 9

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

Modeling Extreme Events: Time-Varying Extreme Tail Shape

ECB Working Paper No. 2021/2524
Number of pages: 66 Posted: 05 Mar 2021
Bernd Schwaab, Andre Lucas and Xin Zhang
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam and Sveriges Riksbank - Research Division
Downloads 138 (430,829)

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Modeling Extreme Events: Time-Varying Extreme Tail Shape

Tinbergen Institute Discussion Paper 2020-076/III
Number of pages: 63 Posted: 04 Jan 2021
Bernd Schwaab, Xin Zhang and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Sveriges Riksbank - Research Division and Vrije Universiteit Amsterdam
Downloads 85 (613,951)
Citation 1

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Dynamic Tail Risk, Observation-Driven Models, Extreme Value Theory, European Central Bank (ECB), Securities Markets Programme (SMP)

13.

Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates

Number of pages: 37 Posted: 12 Feb 2009 Last Revised: 29 Aug 2010
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and European Central Bank (ECB) - Directorate General Research
Downloads 199 (313,854)
Citation 17

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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting

14.

Forecasting Cross-Sections of Frailty-Correlated Default

Tinbergen Institute Discussion Paper No. 08-029/4
Number of pages: 35 Posted: 25 Mar 2008
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and European Central Bank (ECB) - Directorate General Research
Downloads 181 (342,362)
Citation 4

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Non-Gaussian Panel Data, Common Factors, Unobserved Components, Forecasting Conditional Default Probabilities

15.
Downloads 159 (382,942)
Citation 13

The Information in Systemic Risk Rankings

Tinbergen Institute Discussion Paper 15-070/III/94
Number of pages: 24 Posted: 03 Jun 2015
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 81 (631,957)
Citation 4

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

The Information in Systemic Risk Rankings

ECB Working Paper No. 1875
Number of pages: 34 Posted: 21 Jan 2016
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 78 (645,832)
Citation 9

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systemic risk contribution, risk rankings, forecast combination, financial regulation, banking supervision

16.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 156 (389,422)

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

17.

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area

Tinbergen Institute Discussion Paper 14-071/III
Number of pages: 44 Posted: 21 Jun 2014
Geert Mesters, Bernd Schwaab and Siem Jan Koopman
Vrije Universiteit Amsterdam, School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 143 (417,956)
Citation 7

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dynamic Nelson-Siegel models, Central bank asset purchases, non-Gaussian, state space methods, importance sampling, European Central Bank

18.
Downloads 126 (464,604)
Citation 2

Risk Endogeneity at the Lender/Investor-of-Last-Resort

ECB Working Paper No. 2225 (2019); ISBN 978-92-899-3487-9
Number of pages: 60 Posted: 01 Feb 2019
Diego Caballero, Andre Lucas, Bernd Schwaab and Xin Zhang
European Central Bank (ECB), Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 87 (609,450)

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credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy

Risk Endogeneity at the Lender/Investor-of-Last-Resort

BIS Working Paper No. 766
Number of pages: 48 Posted: 13 Feb 2019
Diego Caballero, Andre Lucas, Bernd Schwaab and Xin Zhang
European Central Bank (ECB), Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 39 (898,918)
Citation 2

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credit risk, risk measurement, central bank, lender-of-last-resort, unconventional monetary policy

19.

Global Credit Risk: World, Country and Industry Factors

ECB Working Paper No. 1922
Number of pages: 55 Posted: 19 Jun 2016
Bernd Schwaab, Siem Jan Koopman and Andre Lucas
European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 117 (488,764)
Citation 3

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systematic default risk, credit portfolio models, frailty-correlated defaults, international default risk cycles, state-space methods

20.

A Risk Management Perspective on Macroprudential Policy

ECB Working Paper No. 2021/2556
Number of pages: 35 Posted: 24 May 2021
Aarhus University - School of Business and Social Sciences, European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 116 (491,932)
Citation 4

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21.

Conditional Euro Area Sovereign Default Risk

Riksbank Research Paper Series No. 100, Sveriges Riksbank Working Paper Series No. 269
Number of pages: 40 Posted: 15 Aug 2013
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 116 (491,932)
Citation 25

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sovereign credit risk, higher order moments, time-varying parameters, financial stability

22.

Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts: The Credit Crisis of 2008

ECB Working Paper No. 1459
Number of pages: 45 Posted: 20 Aug 2012
Siem Jan Koopman, Andre Lucas and Bernd Schwaab
Vrije Universiteit Amsterdam - School of Business and Economics, Vrije Universiteit Amsterdam and European Central Bank (ECB) - Directorate General Research
Downloads 100 (547,642)
Citation 11

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financial crisis, default risk, credit portfolio models, frailty-correlated defaults, state space methods

23.

Bank Business Models at Zero Interest Rates

Tinbergen Institute Discussion Paper 16-066/IV
Number of pages: 56 Posted: 30 Aug 2016
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 85 (606,143)
Citation 21

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

24.

Can EU Bonds Serve as Euro-Denominated Safe Assets?

ECB Working Paper No. 2022/2712
Number of pages: 21 Posted: 18 Aug 2022
Tilman Bletzinger, William Greif and Bernd Schwaab
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 74 (655,011)
Citation 3

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EU-issued bonds, European Central Bank, European Union, market liquidity, NextGenerationEU (NGEU), Pandemic Emergency Purchase Programme (PEPP)

25.

Conditional and Joint Credit Risk

ECB Working Paper No. 1621
Number of pages: 39 Posted: 14 Dec 2013
Andre Lucas, Bernd Schwaab and Xin Zhang
Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 73 (659,755)

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sovereign credit risk; higher order moments; time-varying parameters; financial stability

26.

Dynamic Nonparametric Clustering of Multivariate Panel Data

ECB Working Paper No. 2023/2780
Number of pages: 59 Posted: 14 Feb 2023
VU University Amsterdam, Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and VU University AmsterdamTinbergen Institute
Downloads 68 (684,437)

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cluster membership persistence, dynamic clustering, insurance industry, shrinkage, sil-houette index