Bernd Schwaab

European Central Bank (ECB) - Directorate General Research

Kaiserstrasse 29

D-60311 Frankfurt am Main

Germany

SCHOLARLY PAPERS

24

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4,102

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Top 5,182

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176

CROSSREF CITATIONS

81

Scholarly Papers (24)

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 - School of Business and Economics
Downloads 537 (70,943)

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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 - School of Business and Economics
Downloads 196 (210,849)
Citation 11

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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 489 (80,404)

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

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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 314 (132,082)
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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 19 (716,792)

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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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 17 (733,745)

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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 277 (150,794)
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 15 (751,388)
Citation 8

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

5.

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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 271 (154,792)
Citation 5

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

6.

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 - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 265 (158,275)
Citation 1

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

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 - School of Business and Economics
Downloads 109 (337,567)
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 - School of Business and Economics
Downloads 54 (505,676)

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

8.

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 161 (250,876)
Citation 3

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9.

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 - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 156 (256,295)
Citation 17

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

10.

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 - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 149 (265,964)
Citation 4

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

11.
Downloads 144 (273,287)
Citation 28

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 - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 96 (367,509)
Citation 28

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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 - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 48 (532,957)
Citation 2

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

12.

The Risk Management Approach to Macro-Prudential Policy

ECB Working Paper No. 2021/2565
Number of pages: 76 Posted: 03 Jun 2021
European Central Bank (ECB), 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 125 (306,117)

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13.
Downloads 123 (307,927)
Citation 1

Dynamic Clustering of Multivariate Panel Data

Tinbergen Institute Discussion Paper 2020-009/III
Number of pages: 47 Posted: 05 Mar 2020
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 74 (430,462)
Citation 1

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

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 - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 49 (528,077)

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14.
Downloads 91 (376,989)
Citation 7

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 - School of Business and Economics
Downloads 50 (523,536)
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 - School of Business and Economics
Downloads 41 (568,185)
Citation 5

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

15.

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 90 (379,535)
Citation 7

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

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 - School of Business and Economics and Sveriges Riksbank - Research Division
Downloads 44 (552,386)

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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 - School of Business and Economics
Downloads 38 (584,297)

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

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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 75 (422,182)
Citation 25

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

18.

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 - School of Business and Economics and European Central Bank (ECB) - Directorate General Research
Downloads 69 (441,740)
Citation 4

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

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 - School of Business and Economics
Downloads 64 (458,954)
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
European Central Bank (ECB), European Central Bank, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB) - Directorate General Research
Downloads 50 (523,104)

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21.

Bank Business Models at Zero Interest Rates

ECB Working Paper No. 2084
Number of pages: 70 Posted: 04 Jul 2017
Vrije Universiteit Amsterdam - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 49 (518,628)

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

22.

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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 41 (556,251)

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

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 - School of Business and Economics, VU University AmsterdamTinbergen Institute and European Central Bank (ECB) - Directorate General Research
Downloads 40 (561,234)
Citation 21

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

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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 17 (733,745)

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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 - School of Business and Economics, European Central Bank (ECB) - Directorate General Research and Sveriges Riksbank - Research Division
Downloads 13 (769,598)

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