Welcome to the private website of Bernd Schwaab. I am a Research Economist at the European Central Bank's Financial Research Division. On this website you can find an overview of my research, computer code, a short bio, and contact information.
I hold an M.Phil (2007) and PhD (2011) in Economics from Tinbergen Institute and VU University Amsterdam. My research interests are in financial econometrics, asset pricing, and risk management.
I have worked on impact evaluation of non-standard monetary policy measures, portfolio credit risk modeling when some risk factors are unobserved, and financial stability/systemic risk surveillance and measurement. I am also interested in recent econometric frameworks such as nonlinear non-Gaussian factor models, dynamic models for mixed measurement panel data, and time-varying parameter models for multivariate observations with heavy tails.
Obvious but important: This is my private site. The views expressed here are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.