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

Teaching experience:

  • Financial derivatives, financial econometrics
Title Authors Where
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
Observation driven mixed-measurement dynamic factor models with an application to credit risk Drew Creal, Bernd Schwaab, Siem Jan Koopman, Andre Lucas Review of Economics and Statistics
Conditional euro area sovereign default risk Andre Lucas, Bernd Schwaab, Xin Zhang Journal of Business and Economic Statistics
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
Nowcasting and forecasting global financial sector stress and credit market dislocation Siem Jan Koopman, Andre Lucas, Bernd Schwaab International Journal of Forecasting
Modeling frailty-correlated defaults using many macroeconomic covariates Siem Jan Koopman, Andre Lucas, Bernd Schwaab Journal of Econometrics