Bernd
Schwaab

Macro-prudential policy under asymmetric risks: A Bayesian Structural Quantile VAR approach Forthcoming

with Sulkhan Chavleishvili, Robert F. Engle, Stephan Fahr, Manfred Kremer, Frederik Lund-Thomsen, and Simone Manganelli

Journal of Econometrics, forthcoming

Macro-prudential policy makers need to trade off limiting an economy's downside risk against preserving its upside potential. We formalize the decision problem and study it for the euro area using a Bayesian Structural Quantile VAR model.

Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter Forthcoming

with Enzo D'Innocenzo, André Lucas, and Xin Zhang

Journal of Business and Economic Statistics, forthcoming

A robust and parsimonious model to track persistent changes in a predictive density's extreme tail. Cryptocurrencies' market risks roughly tripled following the failure of crypto intermediaries (FTX, Celsius) in 2022.

Modeling extreme events: time-varying extreme tail shape

with Enzo D'Innocenzo, André Lucas, and Xin Zhang

Journal of Business and Economic Statistics, Vol. 42 (3), June 2024, p. 903–917

An extreme value theory-based statistical model to study time variation in tail parameters, with applications to U.S. equity index returns and euro area sovereign yield changes.

Euro area sovereign bond risk premia before and during the Covid-19 pandemic

with Stefano Corradin

European Economic Review, April 2023, Vol. 153, p. 1–20

A framework for decomposing euro area sovereign yields into underlying risk premium components. ECB monetary policy and EU fiscal policy announcements mattered to first order, and affected yields in different ways.

Dynamic clustering of multivariate panel data

with Igor Custodio João, André Lucas, and Julia Schaumburg

Journal of Econometrics, Vol. 237, Issue 2B, 2023

A novel reduced-form parametric model for studying banks' transitions across business model groups. Factors contributing to low profitability can lead to longer-lasting changes in banking industry structure.

Dynamic nonparametric clustering of multivariate panel data

with Igor Custodio João, André Lucas, and Julia Schaumburg

Journal of Financial Econometrics, Dec 2022, p. 1–40

A new non-parametric method for clustering panel data with time-variation in cluster locations, shapes, compositions, and number of clusters. Illustrated using data on large European insurance companies.

Can EU bonds serve as euro-denominated safe assets?

with Tilman Bletzinger and William Greif

Journal of Risk and Financial Management, Nov 2022, Vol. 15 (11), p. 1–13

Safe assets are low in default risk, robust to downturns, and trade in liquid markets. We study whether EU-issued bonds satisfy these criteria and discuss policy options to further promote their safe asset status.

Risk endogeneity at the lender/investor-of-last-resort

with Diego Caballero, André Lucas, and Xin Zhang

Journal of Monetary Economics, Dec 2020, Vol. 116, p. 283–297

We study time-variation in central bank portfolio credit risks associated with unconventional monetary policy operations. Some unconventional policies reduced rather than added to overall risk. Overall risk can be nonlinear in exposures.

Bank business models at zero interest rates

with André Lucas and Julia Schaumburg

Journal of Business and Economic Statistics, Jun 2019, Vol. 37 (3), p. 542–555

Changes in the yield curve predict changes in average bank business model characteristics. Listed among the top ten most downloaded papers on the JBES website.

Bank to sovereign risk spillovers across borders: Evidence from the ECB's Comprehensive Assessment

with Johannes Breckenfelder

Journal of Empirical Finance, Vol. 49, Dec 2018, p. 247–262

A study of risk spillovers from the banking to the sovereign sector within and across borders in the euro area. Market participants understand that euro area sovereigns share some burden of rescuing foreign banks in distress.

Do negative interest rates make banks less safe?

with Federico Nucera, André Lucas, and Julia Schaumburg

Economics Letters, Vol. 159, Oct 2017, p. 112–115

The financial stability impact of negative central bank policy rates depends on banks' business models. Policy rate cuts below zero trigger different risk responses than a cut to zero.

Global credit risk: World, country, and industry factors

with Siem Jan Koopman and André Lucas

Journal of Applied Econometrics, Vol. 32, Issue 2, Mar 2017, p. 296–317

A global default risk map reporting time-varying pd's and risk drivers for over 20,000 firms in 41 countries over 35 years. Point-in-time risk deviations from fundamentals are associated with changes in bank lending standards.

Modeling financial sector joint tail risk in the euro area

with André Lucas and Xin Zhang

Journal of Applied Econometrics, Vol. 32, Issue 1, Jan/Feb 2017, p. 171–191

A block-equicorrelation copula model to reliably infer joint and conditional tail risks from high-dimensional financial data. Used in the ECB's May 2017 Financial Stability Review.

The information in systemic risk rankings

with Federico Nucera, Siem Jan Koopman, and André Lucas

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 Nov 2015 Financial Stability Review.

Evaluating the impact of unconventional monetary policy measures: Empirical evidence from the ECB's Securities Markets Programme

with Fabian Eser

Journal of Financial Economics, Jan 2016, Vol. 119 (1), p. 147–167

Large announcement effects, and an additional −3 bps impact at the 5-year maturity for purchases of 1/1000 of outstanding debt. Cited in the Wall Street Journal, ECB Monthly Bulletin, and ECB Research Bulletin.

Observation-driven mixed-measurement dynamic factor models with an application to credit risk

with Drew Creal, Siem Jan Koopman, and André Lucas

Review of Economics and Statistics, Dec 2014, Vol. 96 (5), p. 898–915

Introduces observation-driven mixed-measurement dynamic factor models in a credit risk context. A joint model of time-varying pd's, lgds, and macro factors.

Conditional euro area sovereign default risk

with André Lucas and Xin Zhang

Journal of Business and Economic Statistics, Vol. 32 (2), 2014, p. 271–284

Cited in the Wall Street Journal, ECB Monthly Bulletin, and ECB Research Bulletin. Figure 4 is updated quarterly for the ESRB risk dashboard.

Nowcasting and forecasting global financial sector stress and credit market dislocation

with Siem Jan Koopman and André Lucas

International Journal of Forecasting, Vol. 30 (3), 2014, p. 741–758

A framework for nowcasts and out-of-sample forecasts of financial sector aggregate PDs. Point-in-time risk deviations from fundamentals are of interest from a financial stability perspective.

Dynamic factor models with macro, frailty, and industry effects for U.S. default counts: the credit crisis of 2008

with Siem Jan Koopman and André Lucas

Journal of Business and Economic Statistics, Vol. 30 (4), Dec 2012, p. 521–532

Introduces parameter-driven mixed-measurement dynamic factor models with a variance decomposition of non-Gaussian default count data. My "job market" paper.

Modeling frailty-correlated default using many macroeconomic covariates

with Siem Jan Koopman and André Lucas

Journal of Econometrics, Vol. 162 (2), June 2011, p. 312–325

Risk measurement and out-of-sample forecasting of U.S. corporate default counts. Adding a single latent (frailty) factor to multiple principal components from macro data yields the best results.

Credit Risk and State Space Methods

Tinbergen Institute PhD thesis, 2011

Received an eervolle vermelding from the Royal Dutch Academy of the Sciences as runner-up for the 2015 Christiaan Huygens dissertation award for best Dutch PhD thesis in Economics/Econometrics/Actuarial Sciences (2010–2014). Contains early versions of [1], [2], [3], and [5].