Search Results - "Schuermann, Til"

Capital Adequacy Pre‐ and Postcrisis and the Role of Stress Testing by SCHUERMANN, TIL

“…The financial crisis forced the development of new approaches for determining capital adequacy in banks since extant methods clearly did not prepare banks or…”
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Stress testing banks by Schuermann, Til

“…How much capital and liquidity does a bank need to support its risk taking activities? During the recent (and still ongoing) financial crisis, answers to this…”
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Stress Testing in a World of Compound Risks and Polycrises by Hopper, Greg, Rattray, Greg, Schuermann, Til, Power, Ben

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Credit rating dynamics and Markov mixture models by Frydman, Halina, Schuermann, Til

“…Despite mounting evidence to the contrary, credit migration matrices, used in many credit risk and pricing applications, are typically assumed to be generated…”
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Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions by Gatev, Evan, Schuermann, Til, Strahan, Philip E.

“…Liquidity risk in banking has been attributed to transactions deposits and their potential to spark runs or panics. We show instead that transactions deposits…”
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Forecasting economic and financial variables with global VARs by Pesaran, M. Hashem, Schuermann, Til, Smith, L. Vanessa

“…This paper considers the problem of forecasting economic and financial variables across a large number of countries in the global economy. To this end a global…”
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A general approach to integrated risk management with skewed, fat-tailed risks by Rosenberg, Joshua V., Schuermann, Til

“…Integrated risk management for financial institutions requires an approach for aggregating risk types (market, credit, and operational) whose distributional…”
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Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model by Pesaran, M. Hashem, Schuermann, Til, Weiner, Scott M

“…Financial institutions are ultimately exposed to macroeconomic fluctuations in the global economy. This article proposes and builds a compact global model…”
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Measurement, estimation and comparison of credit migration matrices by Jafry, Yusuf, Schuermann, Til

“…Credit migration matrices are cardinal inputs to many risk management applications; their accurate estimation is therefore critical. We explore two approaches:…”
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Macroeconomic Dynamics and Credit Risk: A Global Perspective by Pesaran, M. Hashem, Schuermann, Til, Treutler, Björn-Jakob, Weiner, Scott M.

“…This paper presents a new approach to modeling conditional credit loss distributions. Asset value changes of firms in a credit portfolio are linked to a…”
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Confidence intervals for probabilities of default by Hanson, Samuel, Schuermann, Til

“…In this paper we conduct a systematic comparison of confidence intervals around estimated probabilities of default (PD) using several analytical approaches as…”
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Ratings migration and the business cycle, with application to credit portfolio stress testing by Bangia, Anil, Diebold, Francis X, Kronimus, André, Schagen, Christian, Schuermann, Til

“…The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading…”
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Firm heterogeneity and credit risk diversification by Hanson, Samuel G., Pesaran, M. Hashem, Schuermann, Til

“…This paper examines the impact of neglected heterogeneity on credit risk. We show that neglecting heterogeneity in firm returns and/or default thresholds leads…”
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A review of recent books on credit risk by Schuermann, Til

“…A review of 3 books on credit risk is presented. They are: 1. Credit Risk: Pricing, Measurement and Management, by Darrell Duffie and Kenneth J. Singleton, 2…”
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Rejoinder to comments on forecasting economic and financial variables with global VARs by Pesaran, M. Hashem, Schuermann, Til, Smith, L. Vanessa

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Robust Capital Regulation by Acharya, Viral, Mehran, Hamid, Schuermann, Til, Thakor, Anjan

“…Regulators and markets can find the balance sheets of large financial institutions difficult to penetrate, and they are mindful of how undercapitalization can…”
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Why Were Banks Better Off in the 2001 Recession? by Schuermann, Til

“…The 1990-91 recession weighed heavily on banks. Low profits, poor capitalization, and a high incidence of nonperforming loans during this period made it…”
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Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC? by Schuermann, Til, Kuritzkes, Andrew, Weiner, Scott

“…We examine the question of deposit insurance through the lens of risk management by constructing the loss distribution faced by the Federal Deposit Insurance…”
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Macroeconomic dynamics and credit risk: a global perspective by Pesaran, M. Hashem, Schuermann, Til, Treutler, Bjorn-Jakob, Weiner, Scott M

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[Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model]: Rejoinder by Pesaran, M. Hashem, Schuermann, Til, Weiner, Scott M.

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