Til Schuermann : Citation Profile

Are you Til Schuermann?

17

H index

26

i10 index

1947

Citations

RESEARCH PRODUCTION:

23

Articles

51

Papers

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   27 years (1993 - 2020). See details.
   Cites by year: 72
   Journals where Til Schuermann has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 29 (1.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psc73
   Updated: 2021-01-16    RAS profile: 2020-11-08    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Til Schuermann.

Is cited by:

Pesaran, M (127)

Chudik, Alexander (67)

Feldkircher, Martin (36)

Mohaddes, Kamiar (33)

Huber, Florian (31)

Rebucci, Alessandro (27)

Lucas, Andre (22)

Österholm, Pär (18)

Cesa-Bianchi, Ambrogio (18)

Dees, Stephane (17)

Koopman, Siem Jan (17)

Cites to:

Pesaran, M (63)

Gordy, Michael (22)

Diebold, Francis (22)

Lando, David (21)

Duffie, Darrell (17)

Dees, Stephane (17)

Berger, Allen (17)

Smith, L. Vanessa (14)

Jarrow, Robert (14)

Holly, Sean (12)

merton, robert (11)

Main data

Where Til Schuermann has published?

Journals with more than one article published# docs
Journal of Banking & Finance4
International Journal of Forecasting3
Review of Financial Studies2
Economic Policy Review2
Journal of Business & Economic Statistics2
Current Issues in Economics and Finance2

Working Papers Series with more than one paper published# docs
Staff Reports / Federal Reserve Bank of New York8
Working Papers / University of Pennsylvania, Wharton School, Weiss Center7
CESifo Working Paper Series / CESifo4
IEPR Working Papers / Institute of Economic Policy Research (IEPR)2

Recent works citing Til Schuermann (2021 and 2020)

YearTitle of citing document
2020Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Smith, Greig ; Reis, Goncalo Dos ; Pfeuffer, Marius. In: Papers. RePEc:arx:papers:1809.09889.

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2020A Dynamic Bayesian Model for Interpretable Decompositions of Market Behaviour. (2019). Griveau-Billion, Théophile ; Calderhead, Ben. In: Papers. RePEc:arx:papers:1904.08153.

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2020Business Cycles as Collective Risk Fluctuations. (2020). Olkhov, Victor. In: Papers. RePEc:arx:papers:2012.04506.

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2020A Simulation Study: Obtaining a Sufficient Sample Size of Discrete-Time Markov Chains of Investment in a Short Frequency of Time. (2020). Muhammad, Shamsul Rijal ; Sarsour, Wajeeh Mustafa. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:906-919.

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2020Demand for safety, risky loans: A model of securitization. (2020). Villacorta, Alonso ; Segura, Anatoli. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1260_20.

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2020Stress testing in Latin America: A comparison of approaches and methodologies. (2020). Bank for International Settlements, . In: BIS Papers. RePEc:bis:bisbps:108.

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2020The impact of credit risk mispricing on mortgage lending during the subprime boom. (2020). Kay, Benjamin S ; Kahn, James A. In: BIS Working Papers. RePEc:bis:biswps:875.

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2020Spillover Effects of Russian Monetary Policy Shocks on the Eurasian Economic Union. (2020). Abramov, Vladislav. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps60.

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2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

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2020Macroeconomic spillover effects of the Chinese economy. (2020). Sznajderska, Anna ; Kapuściński, Mariusz ; Kapuciski, Mariusz. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:992-1019.

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2020Separating retail and investment banking: evidence from the UK. (2020). Elliott, David ; Chavaz, Matthieu. In: Bank of England working papers. RePEc:boe:boeewp:0892.

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2020Win-Win? Assessing the global impact of the Chinese economy. (2020). Herrala, Risto ; Orlandi, Fabrice. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2020_004.

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2020Measuring Global Macroeconomic Uncertainty. (2020). Moramarco, Graziano. In: Working Papers. RePEc:bol:bodewp:wp1148.

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2020A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, A ; Raissi, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2088.

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2020Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector. (2020). Rakotonirainy, Miora ; Razafindravonona, Jean ; Rasolomanana, Christian. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:2:p:199-218.

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2020Macroprudential Liquidity Stress Test: An Application to Indonesian Banks. (2020). Nattan, Raquela Renanda ; Harun, Cicilia Anggadewi ; Taruna, Aditya Anta. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:9:y:2020:i:si:p:165-187.

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2020Covid-19 Outbreak, Social Response, and Early Economic Effects: A Global VAR Analysis of Cross-Country Interdependencies. (2020). Milani, Fabio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8518.

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2020A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Mohaddes, Kamiar ; Pesaran, Hashem M ; Chudik, Alexander ; Raissi, Mehdi. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8588.

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2020What is the information value of banks stress tests? An investigation using banks bond split ratings. (2020). Sauviat, Alain ; Distinguin, Isabelle ; Dala, Moustapha Daouda. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00414.

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2020External imbalances from a GVAR perspective. (2020). Tamarit, Cecilio ; Carrion-i-Silvestre, Josep ; Camarero, Mariam ; Author, Mariam Camarero. In: Working Papers. RePEc:eec:wpaper:2005.

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2020How does capital buffer affect bank risk-taking? New evidence from China using quantile regression. (2020). Sun, Chen ; Zhang, Jinyi ; Jiang, Hai. In: China Economic Review. RePEc:eee:chieco:v:60:y:2020:i:c:s1043951x19300537.

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2020Do stress tests affect bank liquidity creation?. (2020). Onali, Enrico ; Chevapatrakul, Thanaset ; Ahmed, Shamim ; Vu, Thach. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920300663.

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2020Liquidity backstops and dynamic debt runs. (2020). Yue, Vivian ; Wei, Bin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300841.

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2020Revisiting the effects of NAFTA. (2020). Khan, Nazmus Sadat. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:1-16.

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2020Exploring GDP growth volatility spillovers across countries. (2020). Mutshinda, Crispin ; ben Sita, Bernard ; Arayssi, Mahmoud ; Abosedra, Salah. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:577-589.

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2020Bank fee-based shocks and the U.S. business cycle. (2020). Theoret, Raymond ; Calmes, Christian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940817303595.

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2020Procyclical ratings and market reactions. (2020). Mortenson, Kristian ; Kemper, Kristopher J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818301372.

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2020Equity market and money supply spillovers and economic growth in BRICS economies: A global vector autoregressive approach. (2020). Sohag, Kazi ; Alqahtani, Faisal ; Kutan, Ali M ; Samargandi, Nahla. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303255.

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2020Does bank capitalization matter for bank stock returns?. (2020). Scholtens, Bert ; Huang, Qiubin ; de Haan, Jakob. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300681.

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2020Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145.

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2020Spatial scale and product mix economies in U.S. banking with simultaneous spillover regimes. (2020). Kenjegaliev, Amangeldi ; Kenjegalieva, Karligash ; Glass, Anthony J. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:693-711.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2020Communication and financial supervision: How does disclosure affect market stability?. (2020). Venegoni, Andrea ; Vena, Luigi ; Pacicco, Fausto. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:1-15.

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2020Financial liquidity, geopolitics, and oil prices. (2020). Abdel-Latif, Hany ; El-Gamal, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319302634.

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2020Time-varying co-movements between energy market and global financial markets: Implication for portfolio diversification and hedging strategies. (2020). Tiwari, Aviral ; Nasreen, Samia ; Elsayed, Ahmed H. In: Energy Economics. RePEc:eee:eneeco:v:90:y:2020:i:c:s0140988320301870.

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2020Liquidity creation and funding ability during the interbank lending crunch. (2020). Beladi, Hamid ; How, Janice ; Park, Jason ; Hu, May. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919303254.

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2020The cross-border credit channel and lending standards surveys. (2020). Siklos, Pierre L ; Filardo, Andrew J. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120300901.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2020Bayesian loss given default estimation for European sovereign bonds. (2020). Rosch, Daniel ; Kellner, Ralf ; Jobst, Rainer . In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1073-1091.

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2020Cross-border transmission of emergency liquidity. (2020). Koetter, Michael ; Kick, Thomas ; Storz, Manuela. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426618300384.

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2020International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

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2020Banking stress test effects on returns and risks. (2020). de Haan, Jakob ; Neretina, Ekaterina ; Sahin, Cenkhan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301096.

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2020Liquidity at risk: Joint stress testing of solvency and liquidity. (2020). Valderrama, Laura ; Kotlicki, Artur ; Cont, Rama. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301370.

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2020Monetary stimulus and bank lending. (2020). Chakraborty, Indraneel ; MacKinlay, Andrew ; Goldstein, Itay. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:189-218.

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2020Stress tests and small business lending. (2020). Strahan, Philip E ; Loutskina, Elena ; Li, Lei ; Demyanyk, Yuliya ; Cortes, Kristle R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:1:p:260-279.

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2020An examination of bank behavior around Federal Reserve stress tests. (2020). Tehranian, Hassan ; Schorno, Patrick J ; Minnick, Kristina ; Cornett, Marcia Millon. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:41:y:2020:i:c:s1042957318300330.

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2020Housing market shocks in italy: A GVAR approach. (2020). Parla, Fabio ; cipollini, andrea. In: Journal of Housing Economics. RePEc:eee:jhouse:v:50:y:2020:i:c:s1051137720300437.

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2020The relationship between credit ratings and asset liquidity: Evidence from Western European banks. (2020). Junttila, Juha ; Merilainen, Jari-Mikko. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:108:y:2020:i:c:s0261560620301807.

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2020Adding space to the international business cycle. (2020). Servén, Luis ; Abate, Girum Dagnachew ; Serven, Luis. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:65:y:2020:i:c:s0164070420301373.

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2020Correlation between the 2014 EU-wide stress tests and the market-based measures of systemic risk. (2020). Dissem, Sonia ; Lobez, Frederic. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918300965.

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2020Credit rating migration risk and interconnectedness in a corporate lending network. (2020). Kanno, Masayasu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919310487.

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2020Accounting Model for Impairment under IFRS 9 and its Impact on Loss Allowance. (2020). Tamimi, Oday ; Orban, Ildiko. In: European Research Studies Journal. RePEc:ers:journl:v:xxiii:y:2020:i:4:p:1259-1277.

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2020Shadow of the Colossus: Euro Area Spillovers and Monetary Policy in Central and Eastern Europe. (2020). Tochkov, Kiril ; El-Shagi, Makram. In: CFDS Discussion Paper Series. RePEc:fds:dpaper:202007.

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2020A Counterfactual Economic Analysis of COVID-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Mohaddes, Kamiar ; Pesaran, Hashem M ; Chudik, Alexander ; Raissi, Mehdi. In: Globalization Institute Working Papers. RePEc:fip:feddgw:88829.

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2020Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions. (2020). Zeldea, Cristina. In: Administrative Sciences. RePEc:gam:jadmsc:v:10:y:2020:i:3:p:52-:d:396470.

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2020Do Oil Price Shocks and Other Factors Create Bigger Impacts on Islamic Banks than Conventional Banks?. (2020). Wong, Wing-Keung ; Rjoub, Husam ; Esmaeil, Jabir. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:12:p:3106-:d:372107.

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2020Consideration of Risk Factors in Corporate Property Portfolio Management. (2020). Poprozman, Nataliia ; Oliinyk, Nataliia ; Chunytska, Iryna ; Karpenko, Lidiia ; Bezkorovaina, Olha. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:299-:d:453334.

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2020Modeling the Risk of Extreme Value Dependence in Chinese Regional Carbon Emission Markets. (2020). Zhang, Jeffrey ; Yang, Yuhong ; Hu, Genhua ; Qiu, Hong. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:19:p:7911-:d:418785.

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2020On the Valuation and Analysis of Risky Debt: A Practical Approach Using Raging Migrations. (2020). Wockl, Ines ; Kampl, Lisa-Maria ; Fischer, Edwin O. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2020-01.

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2020What is the information value of banks stress tests? An investigation using banks bond split ratings. (2020). Sauviat, Alain ; Distinguin, Isabelle ; Dala, Moustapha Daouda. In: Working Papers. RePEc:hal:wpaper:hal-02475512.

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2020International Spillover Effects of Unconventional Monetary Policies of Major Central Banks. (2020). Okimoto, Tatsuyoshi ; Inoue, Tomoo. In: Working Papers. RePEc:hal:wpaper:hal-02938960.

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2020Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. (2020). Lejeune, Miguel ; Chun, So Yeon. In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3735-3753.

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2020COVID-19 Outbreak, Social Response, and Early Economic Effects: A Global VAR Analysis of Cross-Country Interdependencies. (2020). Milani, Fabio. In: Working Papers. RePEc:irv:wpaper:192004.

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2020.

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2020Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2020). Feldkircher, Martin ; Tondl, Gabriele. In: International Advances in Economic Research. RePEc:kap:iaecre:v:26:y:2020:i:3:d:10.1007_s11294-020-09792-2.

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2020Impacts of conventional and unconventional US monetary policies on global financial markets. (2020). Ono, Shigeki. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:17:y:2020:i:1:d:10.1007_s10368-019-00456-z.

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2020Net Foreign Asset Positions, Capital Flows and GDP Spillovers. (2020). Czudaj, Robert ; Beckmann, Joscha. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09563-5.

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2020Trade (Dis)integration: The Sudden Death of NAFTA. (2020). Magkonis, Georgios ; Bakas, Dimitrios ; Jackson, Karen. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:4:d:10.1007_s11079-019-09567-1.

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2020Banking market concentration and syndicated loan prices. (2020). Han, Liang ; Mi, Biao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-0781-y.

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2020Forecasting with importance-sampling and path-integrals: Applications to COVID-19. (2020). Ingber, Lester. In: Lester Ingber Papers. RePEc:lei:ingber:20fi.

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2020On shadow banking and fiÂ…nancial frictions in DSGE modeling. (2020). Kirchner, Philipp . In: MAGKS Papers on Economics. RePEc:mar:magkse:202019.

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2020A Counterfactual Economic Analysis of Covid-19 Using a Threshold Augmented Multi-Country Model. (2020). Rebucci, Alessandro ; Pesaran, M ; Mohaddes, Kamiar ; Chudik, Alexander ; Raissi, Mehdi. In: NBER Working Papers. RePEc:nbr:nberwo:27855.

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2020The Impact of China Exchange Rate Policy on its Trading Partners Evidence Based on the GVAR Model. (2020). Nguyen, Huu Tinh ; Yanfu, Zhu ; Abbas, Shah. In: OSF Preprints. RePEc:osf:osfxxx:cwvqb.

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2020The Risk-Taking Channel in the US: A GVAR Approach. (2020). Caglayan, Mustafa ; Mouratidis, Kostas ; Alzuabi, Raslan. In: MPRA Paper. RePEc:pra:mprapa:101391.

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2020The Impact of Weather on Commodity Prices: A Warning for the Future. (2020). Marini, Annalisa. In: MPRA Paper. RePEc:pra:mprapa:104572.

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2020Business Cycles as Collective Risk Fluctuations. (2020). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:104598.

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2020Scenario Analysis Approach for Operational Risk in Insurance Companies. (2020). Vyskoeil, Michal. In: ACTA VSFS. RePEc:prf:journl:v:14:y:2020:i:2:p:153-165.

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2020Spillover Effects of Trade Shocks in the Central and Eastern European and Baltic Countries. (2020). Khan, Nazmus Sadat. In: Journal of Economic Integration. RePEc:ris:integr:0789.

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2020Propagation of economic shocks from Russia and Western European countries to CEE-Baltic countries. (2020). Khan, Nazmus Sadat. In: Eurasian Economic Review. RePEc:spr:eurase:v:10:y:2020:i:3:d:10.1007_s40822-020-00146-1.

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2020Portfolio optimization of credit risky bonds: a semi-Markov process approach. (2020). Pasricha, Puneet ; Manca, Raimondo ; Damico, Guglielmo ; Selvamuthu, Dharmaraja. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00186-1.

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2021COVID-19 outbreak, social response, and early economic effects: a global VAR analysis of cross-country interdependencies. (2021). Milani, Fabio. In: Journal of Population Economics. RePEc:spr:jopoec:v:34:y:2021:i:1:d:10.1007_s00148-020-00792-4.

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2020Motivational Ratings. (2020). Lambert, Nicolas ; Horner, Johannes. In: TSE Working Papers. RePEc:tse:wpaper:124605.

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2020Global fossil fuel consumption and carbon pricing: Forecasting and counterfactual analysis under alternative GDP scenarios. (2020). Yamagata, Takashi ; Tarui, Nori ; Smith, Vanessa L. In: RIEEM Discussion Paper Series. RePEc:was:dpaper:2004.

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Til Schuermann has edited the books:

YearTitleTypeCited

Works by Til Schuermann:

YearTitleTypeCited
2004Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model In: Journal of Business & Economic Statistics.
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2001Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2001) In: Cambridge Working Papers in Economics.
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This paper has another version. Agregated cites: 539		paper
2001Modelling regional interdependencies using a global error-correcting macroeconometric model.(2001) In: 10th International Conference on Panel Data, Berlin, July 5-6, 2002.
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This paper has another version. Agregated cites: 539		paper
2010Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model.(2010) In: EcoMod2003.
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This paper has another version. Agregated cites: 539		paper
2002Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model.(2002) In: Center for Financial Institutions Working Papers.
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This paper has another version. Agregated cites: 539		paper
2004Rejoinder In: Journal of Business & Economic Statistics.
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2003Macroeconomic Dynamics and Credit Risk: A Global Perspective In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper150
2006Macroeconomic Dynamics and Credit Risk: A Global Perspective.(2006) In: Journal of Money, Credit and Banking.
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Macroeconomic Dynamics and Credit Risk: A Global Perspective.() In: Center for Financial Institutions Working Papers.
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2005Scope for Credit Risk Diversification In: Cambridge Working Papers in Economics.
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2005Scope for Credit Risk Diversification.(2005) In: IEPR Working Papers.
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2005The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification In: Cambridge Working Papers in Economics.
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2005The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification.(2005) In: IEPR Working Papers.
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2008Forecasting Economic and Financial Variables with Global VARs In: Cambridge Working Papers in Economics.
[Full Text][Citation analysis]		paper100
2009Forecasting economic and financial variables with global VARs.(2009) In: International Journal of Forecasting.
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2008Forecasting economic and financial variables with global VARs.(2008) In: Staff Reports.
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2005Firm Heterogeneity and Credit Risk Diversification In: CESifo Working Paper Series.
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2005Global Business Cycles and Credit Risk In: CESifo Working Paper Series.
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2008Forecasting Economic and Financial Variables with Global VARs In: CESifo Working Paper Series.
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2003Macroeconomic Dynamics and Credit Risk: A Global Perspective In: CESifo Working Paper Series.
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2012Robust capital regulation.(2012) In: Current Issues in Economics and Finance.
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2013Stress Testing Banks In: Working Papers.
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2014Stress testing banks.(2014) In: International Journal of Forecasting.
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2013Stress Testing Bank Profitability In: Working Papers.
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2014Bank Capital for Operational Risk: A Tale of Fragility and Instability In: Working Papers.
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2015Model Risk and the Great Financial Crisis: The Rise of Modern Model Risk Management In: Working Papers.
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2015Stress Testing Convergence In: Working Papers.
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2016Stress Testing in Wartime and in Peacetime In: Working Papers.
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2016Stress Testing in Wartime and in Peacetime.(2016) In: Working Papers.
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2001The efficiency-equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico In: Economics of Education Review.
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2008Firm heterogeneity and credit risk diversification In: Journal of Empirical Finance.
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2009Rejoinder to comments on forecasting economic and financial variables with global VARs In: International Journal of Forecasting.
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2002Ratings migration and the business cycle, with application to credit portfolio stress testing In: Journal of Banking & Finance.
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2000Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing.(2000) In: Center for Financial Institutions Working Papers.
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2004Measurement, estimation and comparison of credit migration matrices In: Journal of Banking & Finance.
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2006Confidence intervals for probabilities of default In: Journal of Banking & Finance.
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2008Credit rating dynamics and Markov mixture models In: Journal of Banking & Finance.
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2006A general approach to integrated risk management with skewed, fat-tailed risks In: Journal of Financial Economics.
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1998Horizon Problems and Extreme Events in Financial Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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2007Hedge funds, financial intermediation, and systemic risk In: Economic Policy Review.
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2007Hedge funds, financial intermediation, and systemic risk.(2007) In: Staff Reports.
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2006Visible and hidden risk factors for banks In: Staff Reports.
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2008Understanding the securitization of subprime mortgage credit In: Staff Reports.
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2008Understanding the Securitization of Subprime Mortgage Credit.(2008) In: Foundations and Trends(R) in Finance.
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2009Macroprudential supervision of financial institutions: lessons from the SCAP In: Staff Reports.
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1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management.(1998) In: Center for Financial Institutions Working Papers.
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1998Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1998Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management.(1998) In: Center for Financial Institutions Working Papers.
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2005A review of recent books on credit risk In: Journal of Applied Econometrics.
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2005Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? In: Journal of Financial Services Research.
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2007How Do Banks Manage Liquidity Risk? Evidence from the Equity and Deposit Markets in the Fall of 1998 In: NBER Chapters.
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2004How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998.(2004) In: NBER Working Papers.
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2007Global Business Cycles and Credit Risk In: NBER Chapters.
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1996Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models In: NBER Technical Working Papers.
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2006Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions In: NBER Working Papers.
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2009Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions.(2009) In: Review of Financial Studies.
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2009Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions.(2009) In: Review of Financial Studies.
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2020Capital Adequacy Pre? and Postcrisis and the Role of Stress Testing In: Journal of Money, Credit and Banking.
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2002Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays? In: Center for Financial Institutions Working Papers.
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2002Risk Measurement, Risk Management and Capital Adequacy in Financial Conglomerates In: Center for Financial Institutions Working Papers.
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2003Measurement and Estimation of Credit Migration Matrices In: Center for Financial Institutions Working Papers.
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2003Metrics for Comparing Credit Migration Matrices In: Center for Financial Institutions Working Papers.
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1997Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think In: Center for Financial Institutions Working Papers.
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