Browsing All of EconStor by Author Schwaab, Bernd

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Year of PublicationTitleAuthor(s)
2008 Forecasting Cross-Sections of Frailty-Correlated DefaultKoopman, Siem Jan; Lucas, André; Schwaab, Bernd
2010 Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in PerspectiveKoopman, Siem Jan; Lucas, Andre; Schwaab, Bernd
2010 Systemic Risk DiagnosticsSchwaab, Bernd; Lucas, Andre; Koopman, Siem Jan
2011 Systemic risk diagnostics: coincident indicators and early warning signalsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2011 Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit RiskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre
2011 Conditional Probabilities and Contagion Measures for Euro Area Sovereign Default RiskZhang, Xin; Schwaab, Bernd; Lucas, Andre
2012 Dynamic factor models with macro, frailty and industry effects for US default counts: the credit crisis of 2008Koopman, Siem Jan; Lucas, André; Schwaab, Bernd
2013 Observation driven mixed-measurement dynamic factor models with an application to credit riskCreal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2013 Assessing asset purchases within the ECB’s securities markets programmeEser, Fabian; Schwaab, Bernd
2013 Conditional and joint credit riskLucas, André; Schwaab, Bernd; Zhang, Xin
2013 Conditional euro area sovereign default riskLucas, André; Schwaab, Bernd; Zhang, Xin
2013 Measuring Credit Risk in a Large Banking System: Econometric Modeling and EmpiricsLucas, Andre; Schwaab, Bernd; Zhang, Xin
2014 A Dynamic Yield Curve Model with Stochastic Volatility and Non-Gaussian Interactions: An Empirical Study of Non-standard Monetary Policy in the Euro AreaMesters, Geert; Schwaab, Bernd; Koopman, Siem Jan
2015 Modeling financial sector joint tail risk in the euro areaLucas, André; Schwaab, Bernd; Zhang, Xin
2015 Modeling financial sector joint tail risk in the euro areaLucas, André; Schwaab, Bernd; Zhang, Xin
2015 The Information in Systemic Risk RankingsNucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2015 Global Credit Risk: World, Country and Industry FactorsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André
2016 Bank Business Models at Zero Interest RatesLucas, Andre; Schaumburg, Julia; Schwaab, Bernd
2016 The information in systemic risk rankingsNucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; Lucas, André
2016 Global credit risk: world country and industry factorsSchwaab, Bernd; Koopman, Siem Jan; Lucas, André