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Bernd Schwaab


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 Date
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 2016-01-29
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 2014-12-31
Conditional euro area sovereign default risk Andre Lucas, Bernd Schwaab, Xin Zhang Journal of Business and Economic Statistics 2012-07-15
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 2012-12-01
Nowcasting and forecasting global financial sector stress and credit market dislocation Siem Jan Koopman, Andre Lucas, Bernd Schwaab International Journal of Forecasting 2012-07-01
Modeling frailty-correlated defaults using many macroeconomic covariates Siem Jan Koopman, Andre Lucas, Bernd Schwaab Journal of Econometrics 2011-12-30