Til Schuermann - Academia.edu (original) (raw)

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Papers by Til Schuermann

Research paper thumbnail of Estimating Probabilities of Default

Social Science Research Network, 2004

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Research paper thumbnail of Global Business Cycles and Credit Risk

Social Science Research Network, 2005

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Research paper thumbnail of Managing the risk of climate change

The Journal of Risk Management, Mar 1, 2021

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Research paper thumbnail of Model Risk and the Great Financial Crisis

World Scientific Studies in International Economics, Nov 4, 2015

The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel... more The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel Risk Management Today …and Going ForwardReferences

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Research paper thumbnail of Confidence Intervals for Probabilities of Default

Social Science Research Network, 2005

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Research paper thumbnail of Objectives and Challenges of Stress Testing

Handbook of Financial Stress Testing

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Research paper thumbnail of Stress testing convergence

The Journal of Risk Management, 2016

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Research paper thumbnail of 2000): “Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

Abstract: The possibility of exact maximum likelihood estimation of many observation-driven model... more Abstract: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We fmd that, especially in situations of small samples and high persistence, efficiency gains are obtained. Acknowledgments: This is a revised and extended version of our earlier paper,

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Research paper thumbnail of What is enterprise risk management

The Journal of Risk Management, 2019

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Research paper thumbnail of Credit Rating

Encyclopedia of Quantitative Finance, 2010

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Research paper thumbnail of Scope for Credit Risk Diversification

Social Science Research Network, 2005

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Research paper thumbnail of Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

Journal of Business & Economic Statistics, Apr 1, 2004

... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (V... more ... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (VECMs), where such domes-tic macroeconomic variables as gross domestic product (GDP), the general price level, the level of short-term interest rate, ex-change rate, equity prices (when ...

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Research paper thumbnail of Foreword by M. Hashem Pesaran

Cambridge University Press eBooks, Jul 20, 2000

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Research paper thumbnail of Global Business Cycles and Credit Risk

University of Chicago Press eBooks, 2007

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Research paper thumbnail of Macroeconomic Dynamics and Credit Risk: A Global Perspective

RePEc: Research Papers in Economics, Jun 1, 2003

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Research paper thumbnail of Forecasting economic and financial variables with global VARs

RePEc: Research Papers in Economics, 2008

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Research paper thumbnail of The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

Social Science Research Network, 2005

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Research paper thumbnail of The Risks of Financial Institutions

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Research paper thumbnail of Hedge Funds, Financial

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Research paper thumbnail of The Global Economy

Fourteen Points for the Twenty-First Century, 2020

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Research paper thumbnail of Estimating Probabilities of Default

Social Science Research Network, 2004

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Global Business Cycles and Credit Risk

Social Science Research Network, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Managing the risk of climate change

The Journal of Risk Management, Mar 1, 2021

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Model Risk and the Great Financial Crisis

World Scientific Studies in International Economics, Nov 4, 2015

The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel... more The following sections are included:IntroductionThe Rise of Model Risk Management in BankingModel Risk Management Today …and Going ForwardReferences

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Confidence Intervals for Probabilities of Default

Social Science Research Network, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Objectives and Challenges of Stress Testing

Handbook of Financial Stress Testing

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Stress testing convergence

The Journal of Risk Management, 2016

Bookmarks Related papers MentionsView impact

Research paper thumbnail of 2000): “Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models

Abstract: The possibility of exact maximum likelihood estimation of many observation-driven model... more Abstract: The possibility of exact maximum likelihood estimation of many observation-driven models remains an open question. Often only approximate maximum likelihood estimation is attempted, because the unconditional density needed for exact estimation is not known in closed form. Using simulation and nonparametric density estimation techniques that facilitate empirical likelihood evaluation, we develop an exact maximum likelihood procedure. We provide an illustrative application to the estimation of ARCH models, in which we compare the sampling properties of the exact estimator to those of several competitors. We fmd that, especially in situations of small samples and high persistence, efficiency gains are obtained. Acknowledgments: This is a revised and extended version of our earlier paper,

Bookmarks Related papers MentionsView impact

Research paper thumbnail of What is enterprise risk management

The Journal of Risk Management, 2019

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Credit Rating

Encyclopedia of Quantitative Finance, 2010

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Scope for Credit Risk Diversification

Social Science Research Network, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model

Journal of Business & Economic Statistics, Apr 1, 2004

... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (V... more ... We fi rst estimate individual country-(or region-)specifi c vector error-correcting models (VECMs), where such domes-tic macroeconomic variables as gross domestic product (GDP), the general price level, the level of short-term interest rate, ex-change rate, equity prices (when ...

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Foreword by M. Hashem Pesaran

Cambridge University Press eBooks, Jul 20, 2000

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Global Business Cycles and Credit Risk

University of Chicago Press eBooks, 2007

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Macroeconomic Dynamics and Credit Risk: A Global Perspective

RePEc: Research Papers in Economics, Jun 1, 2003

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Forecasting economic and financial variables with global VARs

RePEc: Research Papers in Economics, 2008

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Role of Industry, Geography and Firm Heterogeneity in Credit Risk Diversification

Social Science Research Network, 2005

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Risks of Financial Institutions

Bookmarks Related papers MentionsView impact

Research paper thumbnail of Hedge Funds, Financial

Bookmarks Related papers MentionsView impact

Research paper thumbnail of The Global Economy

Fourteen Points for the Twenty-First Century, 2020

Bookmarks Related papers MentionsView impact

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