Publications in refereed journals

[18] Modeling extreme events: time-varying extreme tail shape, with Enzo D'Innocenzo, André Lucas, and Xin Zhang.
Journal of Business and Economic Statistics, forthcoming.
(JBES download, open access) (a recent version) (web appendix) (ECB WP).
An extreme value theory-based statistical model to study time variation in tail parameters.
With applications to modeling U.S. equity index returns and euro area sovereign yield changes.

[17] Dynamic clustering of multivariate panel data, with Igor Custodio Joao, André Lucas, and Julia Schaumburg.
Journal of Econometrics, Volume 237, Issue 2B, December 2023.
(JE download) (most recent version) (web appendix) (ECB WP)
A novel reduced-form parametric model for e.g. studying banks' transitions across business model groups.
Factors contributing to low profitability for some banks can lead to longer-lasting changes in banking industry structure.

[16] Euro area sovereign bond risk premia before and during the Covid-19 pandemic, with Stefano Corradin.
European Economic Review, April 2023, Volume 153, p. 1-20.
(EER download) (most recent version) (web appendix) (ECB WP).
A framework for decomposing euro area sovereign yields into their underlying risk premium components.
ECB monetary policy and EU fiscal policy announcements mattered to first order, and affected yields in different ways.

[15] Dynamic nonparametric clustering of multivariate panel data, with Igor Custodio Joao, Julia Schaumburg, and André Lucas.
Journal of Financial Econometrics, Dec 2022, p. 1-40.
(JFEctis open access) (a recent version) (ECB WP)
A new non-parametric method for clustering panel data characterized by time-variation in cluster locations and shapes,
cluster compositions, and the number of clusters. Illustrated using data on large European insurance companies.

[14] Can EU bonds serve as euro-denominated safe assets?, with Tilman Bletzinger and William Greif.
(JRFM open access) (ECB Research Bulletin) (VoxEU column) (SUERF policy brief) (FAZ summary) (ECB WP)
Journal of Risk and Financial Management, Nov 2022, Volume 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.

[13] Risk endogeneity at the lender/investor-of-last-resort, with Diego Caballero, André Lucas, and Xin Zhang.
Journal of Monetary Economics, Dec 2020, Volume 116, p. 283-297.
(JME download) (most recent version: Sep 2019) (ECB wp) (BIS wp) (VoxEU)
We study the time-variation in central bank portfolio credit risks associated with unconventional monetary policy operations.
Some unconventional polices reduced rather than added to overall risk. Overall risk can be nonlinear in exposures.

[12] Bank business models at zero interest rates, with André Lucas and Julia Schaumburg.
Journal of Business and Economic Statistics, Jun 2019, Volume 37 (3), p. 542-555.
(JBES download) (ECB wp) (Web Appendix)
Changes in the yield curve predict changes in average bank business model characteristics.
Our business model classification results are available here. Listed among the top ten most downloaded papers on the JBES website.

[11] Bank to sovereign risk spillovers across borders:
Evidence from the ECB's Comprehensive Assessment
, with Johannes Breckenfelder.
Journal of Empirical Finance, Volume 49, Dec 2018, p. 247-262.
(JEF download) (ECB wp) (Web Appendix)
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 (taxpayers) share some of the burden of rescuing foreign banks in distress.

[10] Do negative interest rates make banks less safe?, with Federico Nucera, André Lucas, and Julia Schaumburg.
Economics Letters, Volume 159, Oct 2017, p. 112-115.
(EL download) (ECB wp)
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.

[9] Global credit risk: World, country, and industry factors, with Siem Jan Koopman and André Lucas.
Journal of Applied Econometrics, Volume 32, Issue 2, Mar 2017, p. 296–317.
(JAE download) (ECB wp) (online appendix)
A global default risk map. Reports time-varying pd's and risk drivers for >20k firms in 41 countries over 35 years.
Point-in-time risk deviations from fundamentals are associated with changes in bank lending standards.

[8] Modeling financial sector joint tail risk in the euro area, with André Lucas and Xin Zhang.
Journal of Applied Econometrics, Volume 32, Issue 1, Jan/Feb 2017, p. 171–191.
(JAE download) (ECB wp) (online appendix)
A block-equicorrelation copula model to reliably infer joint and conditional tail risks from
high-dimensional financial data. Used e.g. in the ECB's May 2017 Financial Stability Review, p. 86-88.

[7] 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.
(JEF download) (ECB wp)
A principal components-based methodology to combine alternative systemic risk rankings, reducing model risk.
Summarized in the ECB's Nov 2015 Financial Stability Review, 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, with Fabian Eser, Jan 2016, Vol. 119 (1), p. 147–167.
(JFE download) (a recent version).
We document large announcement effects, and an additional −3 bps impact at the 5-year maturity for purchases of 1/1000 of the outstanding debt.
This study is referred to in a WSJ blog, private sector research letters, the ECB Monthly Bulletin, and the ECB Research Bulletin.

[5] Observation driven mixed-measurement dynamic factor models with an application to credit risk,
The Review of Economics and Statistics, with Drew Creal, Siem Jan Koopman, and André 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.
A joint model of time-varying pd's, lgds, and macro factors. Computer code is here.

[4] Conditional euro area sovereign default risk,
Journal of Business and Economic Statistics, with André 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, with Siem Jan Koopman and André 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.
Point-in-time risk deviations from fundamentals are of interest from a financial stability perspective.

[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, with Siem Jan Koopman and André 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 count data. My "job market" paper.

[1] Modeling frailty-correlated default using many macroeconomic covariates,
Journal of Econometrics, with Siem Jan Koopman and André Lucas, Volume 162 (2), June 2011, p. 312-325.
(JE 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 Sciences as a runner-up for the 2015
"Christiaan Huygens" dissertation award for best Dutch PhD thesis in Economics/Econometrics/Actuarial Sciences
completed between 2010 and 2014. Contains early versions of [1], [2], [3], and [5].


Google scholar link. RePEc link. In the top 10% of authors on SSRN by all-time downloads.

ECB working papers

... are (here)

Selected contributions to central bank publications

"The safe asset potential of EU-issued bonds", SUERF Policy Brief, Nov 2022, joint with Bletzinger and Greif. (SUERF Policy Brief) (ECB Research Bulletin) (VoxEU)

"A novel risk management perspective for macroprudential policy", ECB Discussion Paper, May 2021, joint with Chavleishvili, Fahr, Kremer, and Manganelli. (ECB DP) (ECB RB) (VoxEU)

"Unconventional monetary policy operations – to what extent is there an upside for central bank balance sheet risks?" ECB Research Bulletin #62, Sep 2019. (ECB RB) (VoxEU).

"Market perceptions of bank risk around deposit facility rate cuts below zero," ECB Financial Stability Review, Nov 2017, p. 81-83. (FSR).

"Bank business models at negative interest rates," ECB Research Bulletin #40, Nov 2017. (RB).

"A comparison of market-based indicators of banking system stress," ECB Financial Stability Review, May 2017, p. 84-85. (FSR).

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

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

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

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

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

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

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

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