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1

Stress testing banks

Schuermann, Til

Journal:

International Journal of Forecasting

Year:

2014

Language:

english

File:

PDF, 983 KB

english, 2014

2

Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

Pesaran, M. Hashem, Schuermann, Til, Weiner, Scott M

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 1.21 MB

english, 2004

3

Understanding the Securitization of Subprime Mortgage Credit

Ashcraft, Adam B., Schuermann, Til

Journal:

Foundations and Trends® in Finance

Year:

2006

Language:

english

File:

PDF, 561 KB

english, 2006

4

Capital Adequacy Preâ and Postcrisis and the Role of Stress Testing

SCHUERMANN, TIL

Journal:

Journal of Money, Credit and Banking

Year:

2020

File:

PDF, 664 KB

2020

5

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management

Diebold, Francis X., Schuermann, Til, Stroughair, John D.

Journal:

The Journal of Risk Finance

Year:

2000

Language:

english

File:

PDF, 530 KB

english, 2000

6

Forecasting economic and financial variables with global VARs

M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith

Journal:

International Journal of Forecasting

Year:

2009

Language:

english

File:

PDF, 12.00 MB

english, 2009

7

Measurement, estimation and comparison of credit migration matrices

Yusuf Jafry, Til Schuermann

Journal:

Journal of Banking & Finance

Year:

2004

Language:

english

File:

PDF, 424 KB

english, 2004

8

Ratings migration and the business cycle, with application to credit portfolio stress testing

Anil Bangia, Francis X Diebold, André Kronimus, Christian Schagen, Til Schuermann

Journal:

Journal of Banking & Finance

Year:

2002

Language:

english

File:

PDF, 616 KB

english, 2002

9

Macroeconomic Dynamics and Credit Risk: A Global Perspective

M. Hashem Pesaran, Til Schuermann, Björn-Jakob Treutler and Scott M. Weiner

Journal:

Journal of Money, Credit and Banking

Year:

2006

Language:

english

File:

PDF, 1.13 MB

english, 2006

10

Understanding the Securitization of Subprime Mortgage Credit

Ashcraft, Adam B., Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 465 KB

english, 2008

11

Rejoinder to comments on forecasting economic and financial variables with global VARs

M. Hashem Pesaran, Til Schuermann, L. Vanessa Smith

Journal:

International Journal of Forecasting

Year:

2009

Language:

english

File:

PDF, 1.00 MB

english, 2009

12

A general approach to integrated risk management with skewed, fat-tailed risks

Joshua V. Rosenberg, Til Schuermann

Journal:

Journal of Financial Economics

Year:

2006

Language:

english

File:

PDF, 498 KB

english, 2006

13

Confidence intervals for probabilities of default

Samuel Hanson, Til Schuermann

Journal:

Journal of Banking & Finance

Year:

2006

Language:

english

File:

PDF, 238 KB

english, 2006

14

Risk Dependence, Solvency and Stress Testing for Insurers

Campion, Scott, Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 1.07 MB

english, 2017

15

Credit rating dynamics and Markov mixture models

Halina Frydman, Til Schuermann

Journal:

Journal of Banking & Finance

Year:

2008

Language:

english

File:

PDF, 256 KB

english, 2008

16

The efficiency–equity trade-off of schooling outcomes: public education expenditures and welfare in Mexico

Alec Ian Gershberg, Til Schuermann

Journal:

Economics of Education Review

Year:

2001

Language:

english

File:

PDF, 112 KB

english, 2001

17

Risk Measurement, Risk Management, and Capital Adequacy in Financial Conglomerates

Kuritzkes, Andrew, Schuermann, Til, Weiner, Scott M.

Journal:

Brookings-Wharton Papers on Financial Services

Year:

2003

Language:

english

File:

PDF, 307 KB

english, 2003

18

[Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model]: Rejoinder

M. Hashem Pesaran, Til Schuermann and Scott M. Weiner

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 283 KB

english, 2004

19

Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

M. Hashem Pesaran, Til Schuermann and Scott M. Weiner

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 1.30 MB

english, 2004

20

Rejoinder

Pesaran, M. Hashem, Schuermann, Til, Weiner, Scott M

Journal:

Journal of Business and Economic Statistics

Year:

2004

Language:

english

File:

PDF, 189 KB

english, 2004

21

Stress Testing Bank Profitability

Schuermann, Til, Duane, Michael, Reynolds, Peter

Journal:

SSRN Electronic Journal

Year:

2013

File:

PDF, 570 KB

2013

22

Stress Testing Bank Profitability

Schuermann, Til, Duane, Michael, Reynolds, Peter

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 570 KB

english, 2013

23

Macroeconomic Dynamics and Credit Risk: A Global Perspective

Pesaran, M. Hashem, Schuermann, Til, Treutler, Bjorn-Jakob, Weiner, Scott M.

Journal:

Journal of Money, Credit and Banking

Year:

2006

Language:

english

File:

PDF, 697 KB

english, 2006

24

Stress Testing Banks

Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 482 KB

english, 2012

25

Simulation-based Inference in Econometrics (Methods and Applications) || Testing binomial and multinomial choice models using Cox's non-nested test

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 291 KB

2000

26

A review of recent books on credit risk

Dr Til Schuermann

Journal:

Journal of Applied Econometrics

Year:

2005

Language:

english

File:

PDF, 104 KB

english, 2005

27

Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?

Andrew Kuritzkes, Til Schuermann, Scott M. Weiner

Journal:

Journal of Financial Services Research

Year:

2005

Language:

english

File:

PDF, 361 KB

english, 2005

28

Firm heterogeneity and credit risk diversification

Samuel G. Hanson, M. Hashem Pesaran, Til Schuermann

Journal:

Journal of Empirical Finance

Year:

2008

Language:

english

File:

PDF, 642 KB

english, 2008

29

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan, Schuermann, Til, Strahan, Philip E.

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 2.54 MB

english, 2009

30

Changing Regulatory Capital to Include Liquidity and Management Intervention

MARRISON, CHRIS, SCHUERMANN, TIL, STROUGHAIR, JOHN D.

Journal:

The Journal of Risk Finance

Year:

2000

Language:

english

File:

PDF, 392 KB

english, 2000

31

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

Evan Gatev, Til Schuermann and Philip E. Strahan

Journal:

Review of Financial Studies

Year:

2009

Language:

english

File:

PDF, 2.71 MB

english, 2009

32

A Review of Recent Books on Credit Risk

Review by: Til Schuermann

Journal:

Journal of Applied Econometrics

Year:

2005

Language:

english

File:

PDF, 1.28 MB

english, 2005

33

What do We Know about Loss Given Default?

Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 265 KB

english, 2004

34

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions

Gatev, Evan, Strahan, Philip E., Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 1.30 MB

english, 2005

35

Bank Capital for Operational Risk: A Tale of Fragility and Instability

Ames, Mark, Schuermann, Til, Scott, Hal S.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 434 KB

english, 2014

36

Modeling Regional Interdependencies Using a Global Vector Error-Correcting Macroeconometric Model

Pesaran, M. Hashem Hashem, Schuermann, Til, Weiner, Scott M.

Journal:

SSRN Electronic Journal

Year:

2001

File:

PDF, 1.80 MB

2001

37

Confidence Intervals for Probabilities of Default

Hanson, Samuel Gregory, Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 378 KB

english, 2005

38

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing

Bangia, Anil, Diebold, Francis X., Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2001

Language:

english

File:

PDF, 1.26 MB

english, 2001

39

Credit Rating Dynamics and Markov Mixture Models

Frydman, Halina, Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 278 KB

english, 2004

40

Horizon Problems and Extreme Events in Financial Risk Management

Christoffersen, Peter F., Diebold, Francis X., Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

1999

Language:

english

File:

PDF, 98 KB

english, 1999

41

Macroprudential Supervision of Financial Institutions: Lessons from the SCAP

Hirtle, Beverly, Schuermann, Til, Stiroh, Kevin J.

Journal:

SSRN Electronic Journal

Year:

2009

Language:

english

File:

PDF, 444 KB

english, 2009

42

The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

Pesaran, M. Hashem, Treutler, Björn-Jakob, Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2005

Language:

english

File:

PDF, 595 KB

english, 2005

43

Stress Testing in Wartime and in Peacetime

Schuermann, Til

Journal:

SSRN Electronic Journal

Year:

2016

Language:

english

File:

PDF, 314 KB

english, 2016

44

Macroeconomics and Credit Risk: A Global Perspective

Pesaran, M. Hashem Hashem, Schuermann, Til, Treutler, Björn-Jakob, Weiner, Scott M.

Journal:

SSRN Electronic Journal

Year:

2003

Language:

english

File:

PDF, 960 KB

english, 2003

45

Simulation-based Inference in Econometrics (Methods and Applications) || Introduction

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 79 KB

2000

46

Simulation-based Inference in Econometrics (Methods and Applications) || Calibration by simulation for small sample bias correction

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 259 KB

2000

47

Simulation-based Inference in Econometrics (Methods and Applications) || Simulated moment methods for empirical equivalent martingale measures

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 194 KB

2000

48

Simulation-based Inference in Econometrics (Methods and Applications) || Bayesian analysis of the multinomial probit model

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 158 KB

2000

49

Simulation-based Inference in Econometrics (Methods and Applications) || Accelerated Monte Carlo integration: an application to dynamic latent variables models

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 206 KB

2000

50

Simulation-based Inference in Econometrics (Methods and Applications) || Simulation-based estimation of a non-linear, latent factor aggregate production function

Mariano, Roberto, Schuermann, Til, Weeks, Melvyn J.

Year:

2000

File:

PDF, 315 KB

2000