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Global credit risk : world, country and industry factors
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016
Persistent link: https://www.econbiz.de/10011618479
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Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …
Persistent link: https://www.econbiz.de/10009006653
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Central banks, macro-financial stability and the future of the financial system
George, Esther L.; Acemoglu, Daron; Allen, Hilary J.; … - BIS Annual Conference <22., 2023, Basel> - 2023
Persistent link: https://www.econbiz.de/10014442377
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Modeling financial sector joint tail risk in the euro area
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015
Persistent link: https://www.econbiz.de/10011349820
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Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such...
Persistent link: https://www.econbiz.de/10011959298
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Conditional and joint credit risk
Lucas, André; Schwaab, Bernd; Zhang, Xin - 2013
Persistent link: https://www.econbiz.de/10010233247
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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …
Persistent link: https://www.econbiz.de/10012429187