//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Sheffield economic research paper series"
~isPartOf:"World Bank Policy Research Working Paper"
~language:"eng"
~person:"Schwaab, Bernd"
~subject:"Credit risk"
~subject:"EU-Staaten"
~subject:"Kalman filter"
~subject:"Kreditrisiko"
~subject:"Maximum-Likelihood-Schätzung"
~subject:"Schätzung"
~subject:"Statistische Verteilung"
~subject:"Time series analysis"
~subject:"USA"
~subject:"United States"
~subject:"World"
~type:"book"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Bounded rationality and compet...
Similar by subject
Narrow search
Delete all filters
| 18 applied filters
Year of publication
From:
To:
Subject
All
Credit risk
EU-Staaten
Kalman filter
Kreditrisiko
Maximum-Likelihood-Schätzung
Schätzung
Statistische Verteilung
Time series analysis
USA
United States
World
Theorie
6
Theory
6
Forecasting model
4
Prognoseverfahren
4
State space model
4
Systemic risk
4
Zustandsraummodell
4
state space methods
4
Financial crisis
3
Finanzkrise
3
Portfolio selection
3
Portfolio-Management
3
Systemrisiko
3
Welt
3
credit portfolio models
3
frailty-correlated defaults
3
Bank risk
2
Bankrisiko
2
EU countries
2
Estimation
2
systematic default risk
2
Bankenaufsicht
1
Banking supervision
1
Central bank asset purchases
1
Country risk
1
Dynamic equicorrelation model
1
Euro area
1
European Central Bank
1
Eurozone
1
Factor analysis
1
Faktorenanalyse
1
Financial services
1
Finanzdienstleistung
1
Geldpolitik
1
Generalized hyperbolic distribution
1
more ...
less ...
Online availability
All
Free
8
Type of publication
All
Book / Working Paper
Type of publication (narrower categories)
All
Arbeitspapier
8
Graue Literatur
8
Non-commercial literature
8
Working Paper
8
Language
All
English
Author
All
Schwaab, Bernd
Koopman, Siem Jan
79
Lucas, André
53
Dijk, Herman K. van
42
McAleer, Michael
29
Nijkamp, Peter
26
Demirgüç-Kunt, Asli
23
Groot, Henri L. F. de
22
Vries, Casper G. de
22
Francois, Joseph F.
19
Bos, Charles S.
17
Blasques, Francisco
16
Dijk, Dick van
16
Marrewijk, Charles van
16
Perotti, Enrico C.
15
Teulings, Coen N.
15
Hoogerheide, Lennart
14
Mattoo, Aaditya
14
Wijnbergen, Sweder van
14
Bown, Chad P.
13
Franses, Philip Hans
13
Kraay, Aart
13
Hinloopen, Jeroen
12
Lederman, Daniel
12
Ruta, Michele
12
Gooijer, Jan G. de
11
Martin, Will J.
11
Ooms, Marius
11
Diks, Cees G. H.
10
Huizinga, Harry
10
Schmukler, Sergio L.
10
Anderson, Kym
9
Chang, Chia-Lin
9
Mooij, Ruud A. de
9
Opschoor, Anne
9
Paap, Richard
9
Bergh, Jeroen C. J. M. van den
8
Florax, Raymond J. G. M.
8
Kose, M. Ayhan
8
Servén, Luis
8
more ...
less ...
Published in...
All
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
Discussion paper / Tinbergen Institute
Sheffield economic research paper series
World Bank Policy Research Working Paper
Working paper series / European Central Bank
7
ECB Working Paper
6
Sveriges Riksbank working paper series
2
Research series / Universiteit van Amsterdam
1
Tinbergen Institute Discussion Paper
1
Tinbergen Institute Discussion Paper 10-004/2
1
Tinbergen Institute Discussion Paper 10-104/DSF 2
1
Tinbergen Institute Discussion Paper 2020-076/III
1
Tinbergen Institute research series
1
Working papers / Bank for International Settlements
1
more ...
less ...
Source
All
ECONIS (ZBW)
8
Showing
1
-
8
of
8
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Global credit risk :
world
, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2015
area sovereign debt crises. We find that macro and default-specific
world
factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Saved in:
2
The information in systemic risk rankings
Nucera, Federico
;
Schwaab, Bernd
;
Koopman, Siem Jan
; …
-
2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to disentangle the common signal and the idiosyncratic...
Persistent link: https://www.econbiz.de/10010532581
Saved in:
3
Systemic risk diagnostics : coincident indicators and early warning signals
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
Persistent link: https://www.econbiz.de/10008771823
Saved in:
4
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10011379607
Saved in:
5
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
Saved in:
6
Observation driven mixed-measurement dynamic factor models with an application to credit risk
Creal, Drew
;
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, …
-
2011
This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be...
Persistent link: https://www.econbiz.de/10011383248
Saved in:
7
Measuring credit risk in a large banking system : econometric modeling and empirics
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
-
2013
Persistent link: https://www.econbiz.de/10010191403
Saved in:
8
A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert
;
Schwaab, Bernd
;
Koopman, Siem Jan
-
2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010362975
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->