フォロー
Til Schuermann
Til Schuermann
Partner, Oliver Wyman
確認したメール アドレス: oliverwyman.com
タイトル
引用先
引用先
Modeling regional interdependencies using a global error-correcting macroeconometric model
MH Pesaran, T Schuermann, SM Weiner
Journal of Business & Economic Statistics 22 (2), 129-162, 2004
15842004
Understanding the securitization of subprime mortgage credit
AB Ashcraft, T Schuermann
Foundations and Trends® in Finance 2 (3), 191-309, 2008
10642008
Ratings migration and the business cycle, with application to credit portfolio stress testing
A Bangia, FX Diebold, A Kronimus, C Schagen, T Schuermann
Journal of banking & finance 26 (2-3), 445-474, 2002
8192002
A general approach to integrated risk management with skewed, fat-tailed risks
JV Rosenberg, T Schuermann
Journal of Financial economics 79 (3), 569-614, 2006
6312006
What do we know about loss given default?
T Schuermann
February 2004). Wharton Financial Institutions Center Working Paper, 2004
5702004
Macroeconomic dynamics and credit risk: a global perspective
MH Pesaran, T Schuermann, BJ Treutler, SM Weiner
Journal of Money, Credit and Banking, 1211-1261, 2006
4982006
Pitfalls and opportunities in the use of extreme value theory in risk management
FX Diebold, T Schuermann, JD Stroughair
The Journal of Risk Finance 1 (2), 30-35, 2000
4632000
Managing bank liquidity risk: How deposit-loan synergies vary with market conditions
E Gatev, T Schuermann, PE Strahan
The Review of Financial Studies 22 (3), 995-1020, 2009
4452009
Modeling liquidity risk with implications for traditional market risk measurement and management
A Bangia, FX Diebold, T Schuermann, J Stroughair
NYU Working Paper No. FIN-99-062, 2008
427*2008
Measurement, estimation and comparison of credit migration matrices
Y Jafry, T Schuermann
Journal of Banking & Finance 28 (11), 2603-2639, 2004
301*2004
Credit rating dynamics and Markov mixture models
H Frydman, T Schuermann
Journal of Banking & Finance 32 (6), 1062-1075, 2008
2692008
Stress testing banks
T Schuermann
International Journal of Forecasting 30 (3), 717-728, 2014
2682014
Forecasting economic and financial variables with global VARs
MH Pesaran, T Schuermann, LV Smith
International journal of forecasting 25 (4), 642-675, 2009
2672009
Scale Models: Why scaling up risk by the square root of time is an even worse approximation than you might expect
F Diebold, A Hickman, A Inoue, T Schuermann
RISK-LONDON-RISK MAGAZINE LIMITED- 11, 104-107, 1998
230*1998
Risk measurement, risk management, and capital adequacy in financial conglomerates
A Kuritzkes, T Schuermann, SM Weiner
Brookings-Wharton Papers on Financial Services 2003 (1), 141-193, 2003
1872003
Macroprudential supervision of financial institutions: lessons from the SCAP
B Hirtle, T Schuermann, KJ Stiroh
FRB of New York Staff Report, 2009
1812009
Confidence intervals for probabilities of default
S Hanson, T Schuermann
Journal of Banking & Finance 30 (8), 2281-2301, 2006
1662006
Horizon problems and extreme events in financial risk management
P Christoffersen, FX Diebold, T Schuermann
Economic Policy Review 4 (3), 98-16, 1998
1661998
Hedge funds, financial intermediation, and systemic risk
J Kambhu, T Schuermann, KJ Stiroh
Economic Policy Review 13 (3), 2007
1412007
What we know, don't know and can't know about bank risks: A view from the trenches
A Kuritzkes, T Schuermann
Wharton Financial Institutions Center Working Paper, 2006
1202006
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