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Bernd Schwaab

Personal Details

First Name:Bernd
Middle Name:
Last Name:Schwaab
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RePEc Short-ID:psc589
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http://www.berndschwaab.eu

Affiliation

European Central Bank

Frankfurt am Main, Germany
http://www.ecb.europa.eu/
RePEc:edi:emieude (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.
  2. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
  3. Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
  4. André Lucas & Julia Schaumburg & Bernd Schwaab, 2020. "Dynamic clustering of multivariate panel data," Tinbergen Institute Discussion Papers 20-009/III, Tinbergen Institute.
  5. Bernd Schwaab & Xin Zhang & Andre Lucas, 2020. "Modeling extreme events: time-varying extreme tail shape," Tinbergen Institute Discussion Papers 20-076/III, Tinbergen Institute.
  6. Caballero, Diego & Lucas, Andr e & Schwaab, Bernd & Zhang, Xin, 2019. "Risk endogeneity at the lender/investor-of-last-resort," Working Paper Series 382, Sveriges Riksbank (Central Bank of Sweden).
  7. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment," Working Paper Series 2193, European Central Bank.
  8. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Working Paper Series 2098, European Central Bank.
  9. Andre Lucas & Julia Schaumburg & Bernd Schwaab, 2016. "Bank Business Models at Zero Interest Rates," Tinbergen Institute Discussion Papers 16-066/IV, Tinbergen Institute.
  10. Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
  11. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "Global Credit Risk: World, Country and Industry Factors," Tinbergen Institute Discussion Papers 15-029/III/DSF87, Tinbergen Institute.
  12. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
  13. 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.
  14. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André & Creal, Drew, 2013. "Observation driven mixed-measurement dynamic factor models with an application to credit risk," Working Paper Series 1626, European Central Bank.
  15. 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.
  16. Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013. "Conditional euro area sovereign default risk," Working Paper Series 269, Sveriges Riksbank (Central Bank of Sweden).
  17. Schwaab, Bernd & Eser, Fabian, 2013. "Assessing asset purchases within the ECB’s securities markets programme," Working Paper Series 1587, European Central Bank.
  18. Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
  19. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 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.
  20. 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.
  21. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  22. 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.
  23. 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.
  24. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute.

Articles

  1. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
  2. Schwaab, Bernd & Caballero, Diego, 2019. "Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks?," Research Bulletin, European Central Bank, vol. 62.
  3. André Lucas & Julia Schaumburg & Bernd Schwaab, 2019. "Bank Business Models at Zero Interest Rates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(3), pages 542-555, July.
  4. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
  5. Schwaab, Bernd, 2017. "Bank business models at negative interest rates," Research Bulletin, European Central Bank, vol. 40.
  6. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Economics Letters, Elsevier, vol. 159(C), pages 112-115.
  7. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
  8. André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
  9. Eser, Fabian & Schwaab, Bernd, 2016. "Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme," Journal of Financial Economics, Elsevier, vol. 119(1), pages 147-167.
  10. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
  11. 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.
  12. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� 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.
  13. 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.
  14. Bernd Schwaab, 2012. "Conditional probabilities and contagion measures for euro area sovereign default risk," Research Bulletin, European Central Bank, vol. 17, pages 6-11.
  15. 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.
  16. Stefano Corradin & Simone Manganelli & Bernd Schwaab, 2011. "New methodologies for systemic risk measurement," Research Bulletin, European Central Bank, vol. 12, pages 2-6.
  17. 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 (Discontinued), in: Alexandra Heath & Matthew Lilley & Mark Manning (ed.),Liquidity and Funding Markets, Reserve Bank of Australia.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 31 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (19) 2010-10-30 2011-03-26 2011-04-23 2011-12-19 2012-09-16 2013-06-30 2014-04-05 2014-04-05 2015-04-25 2015-04-25 2015-06-13 2015-09-18 2015-10-10 2016-02-12 2016-07-16 2020-11-23 2021-02-22 2021-05-24 2021-06-14. Author is listed
  2. NEP-EEC: European Economics (14) 2011-12-19 2013-05-19 2013-06-30 2013-09-28 2014-07-13 2015-04-25 2015-04-25 2015-10-10 2016-09-04 2017-07-09 2018-11-12 2020-01-06 2020-11-23 2021-06-14. Author is listed
  3. NEP-CBA: Central Banking (13) 2011-04-23 2013-06-30 2015-04-25 2015-06-13 2016-02-12 2017-05-07 2017-09-17 2018-11-12 2019-02-04 2019-02-25 2020-01-06 2021-05-24 2021-06-14. Author is listed
  4. NEP-BAN: Banking (12) 2010-10-30 2011-04-23 2012-09-16 2013-05-19 2013-06-30 2014-04-05 2014-04-05 2015-04-25 2015-06-13 2016-02-12 2017-05-07 2017-09-17. Author is listed
  5. NEP-ECM: Econometrics (7) 2011-03-26 2012-09-16 2015-04-25 2015-09-18 2017-07-09 2020-02-24 2021-02-22. Author is listed
  6. NEP-MON: Monetary Economics (5) 2013-09-28 2014-07-13 2015-04-25 2019-02-04 2020-01-06. Author is listed
  7. NEP-ORE: Operations Research (5) 2010-10-30 2011-04-23 2020-02-24 2020-11-23 2021-02-22. Author is listed
  8. NEP-MAC: Macroeconomics (3) 2013-09-28 2014-07-13 2015-04-25
  9. NEP-CFN: Corporate Finance (2) 2015-06-13 2020-01-06
  10. NEP-FDG: Financial Development and Growth (2) 2021-05-24 2021-06-14
  11. NEP-FMK: Financial Markets (2) 2015-10-10 2021-06-14
  12. NEP-CWA: Central and Western Asia (1) 2021-06-14
  13. NEP-ETS: Econometric Time Series (1) 2020-02-24
  14. NEP-GER: German Papers (1) 2016-07-16

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