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Bernd Schwaab

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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:
Location: Frankfurt am Main, Germany
Homepage: http://www.ecb.europa.eu/
Email:
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Postal: D-60640 Frankfurt am Main
Handle: RePEc:edi:emieude (more details at EDIRC)
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  1. Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  2. Geert Mesters & Bernd Schwaab & Siem Jan Koopman, 2014. "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 Papers 14-071/III, Tinbergen Institute.
  3. Creal, Drew & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  4. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  5. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  6. Eser, Fabian & Schwaab, Bernd, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  7. 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 13 Oct 2014.
  8. 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.
  9. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  10. 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.
  11. 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.
  12. 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.
  13. Siem Jan Koopman & Andr� Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.
  1. Drew Creal & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
  2. André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
  3. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2014. "Nowcasting and forecasting global financial sector stress and credit market dislocation," International Journal of Forecasting, Elsevier, vol. 30(3), pages 741-758.
  4. 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.
  5. 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.
  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.
6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (6) 2011-04-23 2012-09-16 2013-06-30 2014-04-05 2014-04-05 2015-04-25. Author is listed
  2. NEP-CBA: Central Banking (3) 2011-04-23 2013-06-30 2015-04-25. Author is listed
  3. NEP-ECM: Econometrics (2) 2012-09-16 2015-04-25. Author is listed
  4. NEP-EEC: European Economics (4) 2013-06-30 2013-09-28 2015-04-25 2015-04-25. Author is listed
  5. NEP-MAC: Macroeconomics (2) 2013-09-28 2015-04-25. Author is listed
  6. NEP-MON: Monetary Economics (2) 2013-09-28 2015-04-25. Author is listed
  7. NEP-ORE: Operations Research (1) 2011-04-23
  8. NEP-RMG: Risk Management (7) 2011-04-23 2012-09-16 2013-06-30 2014-04-05 2014-04-05 2015-04-25 2015-04-25. Author is listed

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