Bernd Schwaab

Biographic Data

ID8879210
NAMEBernd Schwaab
GIVEN NAMESBernd
FAMILY NAMESchwaab
SIGNATURESCHWAAB B
AFFILIATIONSEuropean Central Bank
ORCID0000-0003-4283-5228
VERIFIEDYes
TOTAL WORKS6
TOTAL CITATIONS0
WORKS AS AUTHOR6
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2012
LATEST PUBLICATION YEAR2026
H-INDEX0

  • Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter

    Enzo D’Innocenzo, André Lucas et al.ARTICLEJournal of Business and Economic…2026

    We propose a robust semi-parametric framework for persistent time-varying extreme tail behavior, including extreme Value-at-Risk (VaR) and Expected Shortfall (ES). The framework builds on Extreme Value Theory and uses a conditional version of the Generalized Pareto Distribution (GPD) for peaks-over-threshold (POT) dynamics. Unlike earlier approaches, our model (i) has unit root-like, that is, integrated autoregressive dynamics for the GPD tail sh…

  • Modeling Extreme Events

    Open AccessEnzo D’Innocenzo, André Lucas et al.ARTICLEJournal of Business and Economic…2024

    We propose a dynamic semiparametric framework to study time variation in tail parameters.The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation in the tail parameters.We establish parameter regions for stationarity and ergodicity and for the existence of (unconditional) moments and consider condition…

  • Bank Business Models at Zero Interest Rates

    André Lucas, Julia Schaumburg et al.ARTICLEJournal of Business and Economic…2019

    We propose a novel observation-driven finite mixture model for the study of banking data. The model accommodates time-varying component means and covariance matrices, normal and Student’s t distributed mixtures, and economic determinants of time-varying parameters. Monte Carlo experiments suggest that units of interest can be classified reliably into distinct components in a variety of settings. In an empirical study of 208 European banks between…

  • Conditional Euro Area Sovereign Default Risk

    André Lucas, Bernd Schwaab et al.ARTICLEJournal of Business and Economic…2014

    We propose an empirical framework to assess the likelihood of joint and conditional sovereign default from observed CDS prices. Our model is based on a dynamic skewed-t distribution that captures all salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection against sovereign default, as well as dynamic volatilities and correlations that ensure that uncertainty and risk dependence can increase in times …

  • Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

    Drew Creal, Bernd Schwaab et al.ARTICLEThe Review of Economics and…2014

    We propose an observation-driven dynamic factor model for mixed-measurement and mixed-frequency panel data. Time series observations may come from a range of families of distributions, be observed at different frequencies, have missing observations, and exhibit common dynamics and cross-sectional dependence due to shared dynamic latent factors. A feature of our model is that the likelihood function is known in closed form. This enables parameter …

  • Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts

    Siem Jan Koopman, André Lucas et al.ARTICLEJournal of Business and Economic…2012

    We develop a high-dimensional, nonlinear, and non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into latent components for (1) macroeconomic/financial risk, (2) autonomous default dynamics (frailty), and (3) industry-specific effects. We analyze discrete U.S. corporate default counts together with macroeconomic and financial variables in one unifying framework. We find that approximately 35% of default …