Schwaab, Bernd


Functions:

  • Research Economist

Fields of interest:

  • financial econometrics, asset pricing, risk measurement

Education:

  • Tinbergen Institute and VU University Amsterdam, Ph.D

Professional experience:

  • Reseach Economist at ECB since August 2010
Title Authors Where
Bank business models at zero interest rates Andre Lucas, Julia Schaumburg, Bernd Schwaab Journal of Business and Economic Statistics
Do negative interest rates make banks less safe? Federico Nucera, Andre Lucas, Julia Schaumburg. Bernd Schwaab Economics Letters, Volume 159, Oct 2017, Pages 112-115.
Global credit risk: World, country, and industry factors Siem Jan Koopman, Andre Lucas, Bernd Schwaab Journal of Applied Econometrics, Volume 32, Issue 2, Mar 2017, p. 296–317. Do negative interest rates make banks less safe?
Modeling financial sector joint tail risk in the euro area Andre Lucas, Bernd Schwaab, Xin Zhang. Journal of Applied Econometrics, Volume 32, Issue 1, Jan/Feb 2017, p. 171–191.
The information in systemic risk rankings Federico Nucera, Siem Jan Koopman, Andre Lucas, Bernd Schwaab Journal of Empirical Finance, Sep 2016, Vol. 38, p. 461–475.
Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme Fabian Eser, Bernd Schwaab Journal of Financial Economics, Jan 2016, Vol. 119 (1), p. 147–167.
Observation driven mixed-measurement dynamic factor models with an application to credit risk Drew Creal, Bernd Schwaab, Siem Jan Koopman, Andre Lucas The Review of Economics and Statistics, Dec 2014, Vol. 96 (5), p. 898–915.
Conditional euro area sovereign default risk Andre Lucas, Bernd Schwaab, Xin Zhang Journal of Business and Economic Statistics, 2014, Vol 32 (2), p. 271-284.
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 Journal of Business and Economic Statistics, Dec 2012, Vol 30 (4), p. 521-532.
Nowcasting and forecasting global financial sector stress and credit market dislocation Siem Jan Koopman, Andre Lucas, Bernd Schwaab International Journal of Forecasting, 2014, Vol 30 (3), p. 741-758.
Modeling frailty-correlated defaults using many macroeconomic covariates Siem Jan Koopman, Andre Lucas, Bernd Schwaab Journal of Econometrics, 2011, Volume 162 (2), p. 312-325.