Publications

[9] Modeling financial sector joint tail risk in the euro area, joint with Andre Lucas and Xin Zhang.
(JAE version) (ECB wp) (online appendix)
Journal of Applied Econometrics, forthcoming.
A score-driven block-equicorrelation GHST copula model to quickly and reliably infer joint and conditional tail risks
from high-dimensional financial data. Computer code will be available soon on www.gasmodel.com.

[8] Global credit risk: World, country, and industry factors, joint with Siem Jan Koopman and Andre Lucas.
(JAE version) (ECB wp) (online appendix)
Journal of Applied Econometrics, forthcoming.
A global default risk map. Reports time-varying pd's and risk drivers for >20k firms in 41 countries over 35 years.
Credit risk deviations from macro-implied levels are informative from a financial stability surveillance perspective.

[7] The information in systemic risk rankings, joint with Federico Nucera, Siem Jan Koopman and Andre Lucas.
(JEF download) (ECB working paper)
Journal of Empirical Finance, Sep 2016, Vol. 38, p. 461–475.
A principal components-based methodology to combine alternative systemic risk rankings, reducing model risk.
Summarized in the ECB's Financial Stability Review Fall 2015, p. 80-82.

[6] Evaluating the impact of unconventional monetary policy measures:
Empirical evidence from the ECB's Securities Markets Programme,
Journal of Financial Economics, joint with Fabian Eser, Jan 2016, Vol. 119 (1), p. 147–167.
(JFE download) (a recent version). An earlier ECB working paper (under a different title) is here.
This study is referred to in a WSJ blog, the ECB Monthly Bulletin, the ECB Research Bulletin, and private sector research letters.

[5] Observation driven mixed-measurement dynamic factor models with an application to credit risk,
The Review of Economics and Statistics, joint with Drew Creal, Siem Jan Koopman, and Andre Lucas, Dec 2014, Vol. 96 (5), p. 898–915.
(REStat download) (online appendix) (a recent version)
Introduces observation-driven mixed-measurement dynamic factor models in a credit risk context.
Computer code is here.

[4] Conditional euro area sovereign default risk,
Journal of Business and Economic Statistics, joint with Andre Lucas and Xin Zhang, Vol 32 (2), 2014, p. 271-284.
(JBES download) (a recent version)
The paper is referred to in a WSJ article, the ECB Monthly Bulletin, the ECB Research Bulletin.
Figure 4 from this paper is updated quarterly for the ESRB risk dashboard.

[3] Nowcasting and forecasting global financial sector stress and credit market dislocation,
International Journal of Forecasting, joint with Siem Jan Koopman and Andre Lucas, Vol 30 (3), 2014, p. 741-758.
(IJF download) (online appendix) (a recent version)
A framework for nowcasts and out-of-sample forecasts of financial sector aggregate pd's.
Figure 7 on risk deviations is updated quarterly for financial stability monitoring purposes.

[2] Dynamic factor models with macro, frailty, and industry effects for U.S. default counts: the credit crisis of 2008,
Journal of Business and Economic Statistics, joint with Siem Jan Koopman and Andre Lucas, Vol 30 (4), Dec 2012, p. 521-532.
(JBES download) (a recent version) (Web Appendix)
Introduces parameter-driven mixed-measurement dynamic factor models.
Provides a variance decomposition of non-Gaussian default data. "Job market" paper.

[1] Modeling frailty-correlated default using many macroeconomic covariates,
Journal of Econometrics, joint with Siem Jan Koopman and Andre Lucas, Volume 162 (2), June 2011, p. 312-325.
(JoE download) (a recent version)
Considers the risk measurement and out-of-sample forecasting of U.S. corporate default counts.
Best is to add a single latent (frailty) factor to multiple principal components from macro data.

[0] Credit Risk and State Space Methods
(My Tinbergen Institute 2011 PhD thesis)
.. received a "eervolle vermelding" from the Royal Dutch Academy of the Sciencies as a runner-up for the
2015 "Christiaan Huygens" dissertation award in Economics/Econometrics/Actuarial Sciences.
Nominated earlier for the 2014 "KVS Penning".

Working papers under revision or initial review

Bank business models at zero interest rates, joint with Andre Lucas and Julia Schaumburg.
R&R, Journal of Business and Economic Statistics.
(Most recent version: Aug 2016) (TI DP version)
An observation-driven dynamic finite mixture model for the study of banking data.
Different types of banks respond differently to changes in long-term interest rates.

The bank-sovereign nexus across borders, joint with Johannes Breckenfelder.
(Most recent version: Sep 2016) (SSRN) (Web Appendix)
A study of risk contagion from the banking to the sovereign sector within and across borders in the euro area.
Based on difference-in-differences around the ECB's release of the outcome of its Comprehensive Assessment.

Tail risk in government bond markets and ECB unconventional policies, joint with Xin Zhang.
(a recent version)
A novel modeling framework to estimate the time variation in the tail shape of an arbitrary fat-tailed distribution.
ECB unconventional monetary policies adopted between 2010-2012 lowered the tail risks associated with holding certain sovereign bonds.

Work in progress

A dynamic yield curve model with stochastic volatility and non-Gaussian interactions:
an empirical study of non-standard monetary policy in the euro area, joint with Geert Mesters and Siem Jan Koopman.
(TI Discussion paper)
A robust framework to assess the impact of central bank standard and non-standard policies on volatile yield curves.
Frank Diebold's blog entry on MSK (2015) is here.

The systemic risk of bank business models, joint with Federico Nucera, Andre Lucas, and Julia Schaumburg.
(in progress)

Risk spillovers across ECB unconventional monetary policies, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
(in progress)

Citations

Google scholar link.

RePEc link.

ECB working papers

... are (here)

Selected contributions to central bank publications

New Quantitative Measures of Systemic Risk, ECB Financial Stability Review, Special Feature E, Dec 2010. (SF E)

Systemic Risk Methodologies, ECB Financial Stability Review, Special Feature C, June 2011. (SF C)

New Methodologies for Systemic Risk Measurement, ECB Research Bulletin 12, Spring 2011. (ECB RB)

Conditional probabilities and contagion measures for euro area sovereign default risk, ECB Research Bulletin 17, Spring 2013. (ECB RB)

Summary "Fourth ECB workshop on non-standard monetary policy measures", ECB Research Bulletin 19, Fall 2013. (ECB RB) (conf link)

Comment on "Bank funding and financial stability" by P. Gai, A. Haldane, S. Kapadia, and B. Nelson, Reserve Bank of Australia. (2013 RBA conference volume)

Joint article "The determinants of euro area sovereign bond yield spreads during the crisis", ECB Monthly Bulletin May 2014.

"The information in systemic risk rankings", ECB Financial Stability Review, Nov 2015, p. 80-82. (FSR).

External presentations

2017:

* FMA Latin-American conference, Mexico City, 16-17 Feb 2017

* Vienna-Copanhagen conference on Financial Econometrics, Vienna, 09-11 Mar 2017



2016:

* ECB DG-R internal seminar, Frankfurt, 04 Mar 2016

* Frankfurt School of Finance and Management, Finance seminar, Frankfurt, 30 Mar 2016

* Finance@VU seminar, VU Amsterdam, 01 Apr 2016

* [On a temporary secondment to ECB SSM from Apr - Jul 2016.]

* ECB DG-R internal seminar, Frankfurt, 29 Apr 2016

* ECB SSM, Frankfurt, 10 May 2016

* IAS Institute of Higher Studies, Econometrics seminar, Vienna, 09 Jun 2016

* GSE "Time series econometrics & applications" workshop, Barcelona, 20-21 Jun 2016

* International Association for Applied Econometrics conference, Milan, 22-25 Jun 2016

* EFA meeting, Oslo, 17-20 Aug 2016

* GRETA Credit conference, Venice, 06-07 Oct 2016

* Credit risk modeling workshop, Chicago Fed, 08-10 Nov 2016

* Riksbank seminar, Stockholm, 22 Nov 2016

* CFE/CMStatistics conference, Seville, 9-11 Dec 2016