B. Schwaab

发表

Academisch Proefschrift, B. Schwaab, 2011 .

A dynamic factor model for mixed-measurement mixed-frequency panel data , with application to credit and recovery risk ∗

B. Schwaab, 2009 .

What drives global credit risk conditions? Inference on world, regional, and industry factors

S. Koopman, B. Schwaab, S. J. Koopman, 2014 .

Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective

S. Koopman, A. Lucas, B. Schwaab, 2010 .

Conditional Euro Area Sovereign Default Risk

Xin Zhang, André Lucas, Bernd Schwaab, 2013 .

Assessing Asset Purchases within the ECB’s Securities Markets Programme

B. Schwaab, F. Eser, 2013, SSRN Electronic Journal.

The Information in Systemic Risk Rankings

Andre Lucas, Bernd Schwaab, S. Koopman, 2015, SSRN Electronic Journal.

Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB׳s Securities Markets Programme

B. Schwaab, F. Eser, 2016 .

Web Appendix to Modeling nancial sector joint tail risk in the euro area

B. Schwaab, 2015 .

Dynamic clustering of multivariate panel data

A. Lucas, B. Schwaab, Julia Schaumburg, 2022, Journal of Econometrics.

Conditional and Joint Credit Risk

A. Lucas, Xin Zhang, B. Schwaab, 2013, SSRN Electronic Journal.

Dynamic Clustering of Multivariate Panel Data

A. Lucas, B. Schwaab, Julia Schaumburg, 2019, SSRN Electronic Journal.

Credit risk around the world: Inference on world, country and industry factors

S. Koopman, B. Schwaab, S. J. Koopman, 2015 .

Conditional Probabilities for Euro Area Sovereign Default Risk

A. Lucas, Xin Zhang, B. Schwaab, 2011 .

Conditional probabilities and contagion measures for euro area sovereign default risk

A. Lucas, Xin Zhang, B. Schwaab, 2012 .

Forecasting Cross-Sections of Frailty-Correlated Default

S. Koopman, A. Lucas, B. Schwaab, 2008 .

Modeling (cid:12)nancial sector tail risk, with application to the euro area ∗

A. Lucas, Xin Zhang, B. Schwaab, 2014 .

No 17 , WINTER 2012 THE ImpACT of THE SECURITIES mARkETS

B. Schwaab, S. Manganelli, R. O S Y S T, 2022 .

Discussion of Bank Funding and Financial Stability

B. Schwaab, 2013 .

Dynamic Nonparametric Clustering of Multivariate Panel Data

A. Lucas, B. Schwaab, Julia Schaumburg, 2022, Journal of Financial Econometrics.

Bank Business Models at Zero Interest Rates

A. Lucas, B. Schwaab, Julia Schaumburg, 2016, Journal of Business & Economic Statistics.

Modeling Financial Sector Joint Tail Risk in the Euro Area

A. Lucas, Xin Zhang, B. Schwaab, 2013, SSRN Electronic Journal.

Measuring credit risk in a large banking system : econometric modeling and empirics ∗

A. Lucas, Xin Zhang, B. Schwaab, 2013 .

Global Credit Risk: World, Country and Industry Factors

Andre Lucas, Bernd Schwaab, S. Koopman, 2016, SSRN Electronic Journal.

TI 15-070 / III / DSF 94 The Information in Systemic Risk Rankings

S. Koopman, A. Lucas, B. Schwaab, 2015 .

Modeling Extreme Events: Time-Varying Extreme Tail Shape

A. Lucas, Xin Zhang, B. Schwaab, 2020, SSRN Electronic Journal.

The Risk Management Approach to Macro-Prudential Policy

R. Engle, B. Schwaab, S. Manganelli, 2021, SSRN Electronic Journal.

A Risk Management Perspective on Macroprudential Policy

B. Schwaab, S. Manganelli, Manfred K. Kremer, 2021, SSRN Electronic Journal.

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

Siem Jan Koopman, Drew D. Creal, André Lucas, 2011, Review of Economics and Statistics.

TI 11-042 / DSF 16 Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Andre Lucas, Drew D. Creal, Bernd Schwaab, 2011 .

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

Bernd Schwaab, B. Schwaab, Johannes Breckenfelder, 2018, Journal of Empirical Finance.

Bank and Sovereign Credit Risk: Spillover Effects from the ECB's Comprehensive Assessment

B. Schwaab, J. Breckenfelder, 2017 .

Systemic Risk Diagnostics: Coincident Indicators and Early Warning Signals

S. Koopman, A. Lucas, B. Schwaab, 2010, SSRN Electronic Journal.

The bank-sovereign nexus across borders

B. Schwaab, J. Breckenfelder, 2015 .

Do Negative Interest Rates Make Banks Less Safe?

A. Lucas, B. Schwaab, Federico Nucera, 2017, SSRN Electronic Journal.

Tail risk in government bond markets and ECB unconventional policies

Xin Zhang, B. Schwaab, 2016 .

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

A. Lucas, Xin Zhang, B. Schwaab, 2019, Journal of Monetary Economics.

Euro Area Sovereign Bond Risk Premia During the COVID-19 Pandemic

B. Schwaab, S. Corradin, Niklas Grimm, 2021, SSRN Electronic Journal.

Systematic risk diagnostics

S. Koopman, A. Lucas, B. Schwaab, 2010 .

Nowcasting and forecasting global financial sector stress and credit market dislocation

S. Koopman, A. Lucas, B. Schwaab, 2014 .

Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008

Siem Jan Koopman, Andre Lucas, Bernd Schwaab, 2012 .

Modeling Frailty-Correlated Defaults Using Many Macroeconomic Covariates

Siem Jan Koopman, Andre Lucas, Bernd Schwaab, 2009 .

A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-Standard Monetary Policy in the Euro Area

G. Mesters, B. Schwaab, S. J. Koopman, 2014 .

Euro area sovereign bond risk premia before and during the Covid-19 pandemic

B. Schwaab, S. Corradin, Stefano Corradin, 2023, European economic review.

European Economic

B. Schwaab, tefano Corradin, 2023 .

European Economic

B. Schwaab, tefano Corradin, 2023 .

European Economic

B. Schwaab, tefano Corradin, 2023 .

European Economic

B. Schwaab, tefano Corradin, 2013 .

Modeling extreme events: time-varying extreme tail shape*

B. Schwaab, Enzo D’Innocenzo, André Lucas, 2023, Journal of Business & Economic Statistics.

Macro, industry and frailty effects in defaults: The 2008 credit crisis in perspective

A. Lucas, B. Schwaab, S. J. Koopman, 2010 .

The 2008 Credit Crisis in Perspective Macro, Industry and Frailty Effects in Defaults: the 2008 Credit Crisis in Perspective * Tinbergen Institute Duisenberg School of Finance Macro, Industry and Frailty Factors in Defaults: the 2008 Credit Crisis in Perspective

B. Schwaab, S. J. Koopman, Jan Siem, 2010 .

Macro, Industry and Frailty Effects in Defaults: the 2008 Credit Crisis in Perspective * Macro, Industry and Frailty Factors of Defaults: the 2008 Credit Crisis in Perspective

B. Schwaab, S. J. Koopman, Jan Siem, 2009 .

Mixed Measurement Dynamic Factor Models

Siem Jan Koopman, Andre Lucas, Drew D. Creal, 2010 .