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Bernd Schwaab

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This is information that was supplied by Bernd Schwaab in registering through RePEc. If you are Bernd Schwaab , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Bernd
Middle Name:
Last Name: Schwaab
Suffix:

RePEc Short-ID: psc589

Email: [This author has chosen not to make the email address public]
Homepage: http://www.berndschwaab.eu
Postal Address:
Phone:

Affiliation

European Central Bank
Location: Frankfurt am Main, Germany
Homepage: http://www.ecb.int/
Email:
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Postal: Kaiserstraße 29, D-60311 Frankfurt am Main
Handle: RePEc:edi:emieude (more details at EDIRC)

Works

as in new window

Working papers

  1. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  2. Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 30 May 2013.
  3. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  4. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  5. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2012. "Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008," Working Paper Series 1459, European Central Bank.
  6. Xin Zhang & Bernd Schwaab & Andre Lucas, 2011. "Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default Risk," Tinbergen Institute Discussion Papers 11-176/2/DSF29, Tinbergen Institute, revised 28 Jun 2012.
  7. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andre Lucas, 2011. "Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," Tinbergen Institute Discussion Papers 11-042/2/DSF16, Tinbergen Institute.
  8. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  9. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.
  10. Siem Jan Koopman & Andre Lucas & Bernd Schwaab, 2010. "Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective," Tinbergen Institute Discussion Papers 10-004/2, Tinbergen Institute, revised 24 Aug 2010.
  11. Siem Jan Koopman & Andr� Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.

Articles

  1. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 521-532, May.
  2. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.

Chapters

  1. Bernd Schwaab, 2013. "Discussion of Bank Funding and Financial Stability," RBA Annual Conference Volume, in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (8) 2010-10-30 2011-03-26 2011-04-23 2012-09-16 2013-05-19 2013-06-30 2014-04-05 2014-04-05. Author is listed
  2. NEP-CBA: Central Banking (2) 2011-04-23 2013-06-30
  3. NEP-ECM: Econometrics (2) 2011-03-26 2012-09-16
  4. NEP-EEC: European Economics (4) 2011-12-19 2013-05-19 2013-06-30 2013-09-28. Author is listed
  5. NEP-MAC: Macroeconomics (1) 2013-09-28
  6. NEP-MON: Monetary Economics (1) 2013-09-28
  7. NEP-ORE: Operations Research (2) 2010-10-30 2011-04-23
  8. NEP-RMG: Risk Management (10) 2010-10-30 2011-02-26 2011-03-26 2011-04-23 2011-12-19 2012-09-16 2013-05-19 2013-06-30 2014-04-05 2014-04-05. Author is listed

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