Bernd Schwaab

European Central Bank (ECB) - Directorate General Research

Kaiserstrasse 29

D-60311 Frankfurt am Main

Germany

  • European Central Bank (ECB) - Directorate General Research

SCHOLARLY PAPERS

26

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229

CROSSREF CITATIONS

89

Scholarly Papers (26)

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1.

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

Downloads 825 (51,827)
Citation 10

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 603 (76,936)

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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 222 (234,975)
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 553 (86,779)

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

3.

Modeling Financial Sector Joint Tail Risk in the Euro Area

Downloads 408 (124,949)
Citation 8

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 333 (155,323)
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 41 (731,185)

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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 34 (784,167)
Citation 1

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

4.

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 375 (137,474)
Citation 12

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5.

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

Downloads 347 (149,636)
Citation 13

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 319 (162,701)
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 28 (834,499)
Citation 13

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

6.

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 306 (171,102)
Citation 5

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

7.

Dynamic Clustering of Multivariate Panel Data

Downloads 298 (175,862)
Citation 2

Dynamic Clustering of Multivariate Panel Data

ECB Working Paper No. 2021/2577
Number of pages: 54 Posted: 30 Jul 2021
Igor Custodio João, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
VU University Amsterdam, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 166 (305,577)
Citation 1

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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
Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 132 (368,853)
Citation 1

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

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 289 (181,665)
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
Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
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 222 (235,654)
Citation 3

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10.

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

Downloads 213 (244,972)
Citation 18

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
Drew Creal, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
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 129 (375,459)
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
Drew Creal, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
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 84 (508,070)

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

11.

Do Negative Interest Rates Make Banks Less Safe?

Downloads 187 (275,560)
Citation 32

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, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 119 (399,332)
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
Federico Nucera, Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Bank of Italy, Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 68 (575,392)
Citation 8

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

12.

Modeling Extreme Events: Time-Varying Extreme Tail Shape

Downloads 183 (282,190)

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 109 (429,018)

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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 74 (548,581)
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 182 (282,190)
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 169 (300,902)
Citation 4

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

15.

The Information in Systemic Risk Rankings

Downloads 131 (369,940)
Citation 11

The Information in Systemic Risk Rankings

Tinbergen Institute Discussion Paper 15-070/III/94
Number of pages: 24 Posted: 03 Jun 2015
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 69 (570,664)
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
Federico Nucera, Bernd Schwaab, Siem Jan Koopman and Andre Lucas
Bank of Italy, European Central Bank (ECB) - Directorate General Research, Vrije Universiteit Amsterdam - School of Business and Economics and Vrije Universiteit Amsterdam
Downloads 62 (604,447)
Citation 9

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

16.

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 123 (387,987)
Citation 7

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

17.

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 94 (469,015)
Citation 25

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

18.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Andre Lucas, Julia Schaumburg, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 92 (475,565)

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

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 90 (482,104)
Citation 3

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

20.

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 84 (503,055)
Citation 5

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

21.

A Risk Management Perspective on Macroprudential Policy

ECB Working Paper No. 2021/2556
Number of pages: 35 Posted: 24 May 2021
Sulkhan Chavleishvili, Stephan Fahr, Manfred Kremer, Simone Manganelli and Bernd Schwaab
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 83 (506,605)
Citation 1

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22.

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

Downloads 72 (550,069)
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 40 (738,518)

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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 32 (800,431)
Citation 2

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

23.

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, Julia Schaumburg and Bernd Schwaab
Vrije Universiteit Amsterdam, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 71 (554,229)
Citation 21

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

24.

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 60 (604,405)

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

25.

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 58 (619,769)
Citation 2

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

26.

Dynamic Nonparametric Clustering of Multivariate Panel Data

ECB Working Paper No. 2023/2780
Number of pages: 59 Posted: 14 Feb 2023
Igor Custodio João, Andre Lucas, Bernd Schwaab, Julia Schaumburg and Julia Schaumburg
VU University Amsterdam, Vrije Universiteit Amsterdam, European Central Bank (ECB) - Directorate General Research and VU University AmsterdamTinbergen Institute
Downloads 53 (641,139)

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