Publications

Understanding the Securitization of Subprime Mortgage Credit
With Adam B. Ashcraft
Foundations and Trends in Finance, 2:3,
191-309
Read the full text in Foundations and Trends in Finance  ››
See also ››
Federal Reserve Bank New York Staff Report 318

Forecasting Economic and Financial Variables with Global VARs  
With M. Hashem Pesaran and L. Vanessa Smith
International Journal of Forecasting Forthcoming, with discussion
See also ››
Wharton Financial Institutions Center Working Paper #08-05
Federal Reserve Bank New York Staff Report 317 

Firm Heterogeneity and Credit Risk Diversification  
With Samuel G. Hanson and M. Hashem Pesaran
Journal of Empirical Finance, Volume 15, Issue 4, September 2008,
Pages 583-612
Read the full text in ScienceDirect  ››
See also ››
Previously circulated as Wharton Financial Institutions Center Working Paper #05-05 

Hedge Funds, Financial Intermediation, and Systemic Risk
With John Kambhu and Kevin Stiroh
Federal Reserve Bank of New York Economic Policy Review December 2007, 13:3,
1-18

Credit Rating Dynamics and Markov Mixture Models  
With Halina Frydman
Journal of Banking & Finance Volume 32, Issue 6, June 2008,
Pages 1062-1075
Read the full text in ScienceDirect  ››

Managing Bank Liquidity Risk: How Deposit-Loan Synergies Vary with Market Conditions,  
With Evan Gatev and Philip E. Strahan,
Review of Financial Studies Forthcoming

Credit Migration Matrices,  
Encyclopedia of Quantitative Risk Assessment, John Wiley & Sons. Ed Melnick and Brian Everitt (eds.), Forthcoming
15 pages / 110 kb

What We Know, Don't Know, and Can't Know about Bank Risk: A View from the Trenches"  
With Andrew Kuritzkes
The Known, The Unknown and The Unknowable in Financial Risk Management, Princeton University Press, F.X. Diebold, N. Doherty, and R.J. Herring (eds.) March 2008
58 pages / 191 kb

Macroeconomic Dynamics and Credit Risk: A Global Perspective  
With M. H. Pesaran, B. J. Treuler and S. M. Weiner
Journal of Money, Credit and Banking August 2006, 38:5, 1211-1262
60 pages / 898 kb

A General Approach to Integrated Risk Management With Skewed, Fat-tailed Risks
With Joshua Rosenberg
Journal of Financial Economics March 2006, 79:3, 569-614
Read the full text in ScienceDirect  ››
See also ››
Previously circulated as Federal Reserve Bank of New York Staff Reports No. 185, May 2004

Confidence Intervals for Probabilities of Default  
With Samuel Hanson
Journal of Banking and Finance, August 2006, 30:8, 2281-2301
44 pages / 381 kb
Read the full text in ScienceDirect  ››
See also ››
Wharton Financial Institutions Center Working Paper  
No. 05-15, September 2005

Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?
Journal of Financial Services Research June 2005 (lead article), 27:3, 217-243
Read the full text in Springer Link  ››

Global Business Cycles and Credit Risks  
With M.H. Pesaran and B-J Treutler
Risks of Financial Institutions M. Carey and R. Stulz (ed.), Chicago, IL: Univeristy of Chicago Press, February 2005, Forthcoming
56 pages / 780 kb
See also ››
NBER Working Paper No. 11493 

How do Banks Manage Liquidity Risk? Evidence from Equity and Deposit Markets in the Fall of 1998  
With Evan Gatev and Philip Strahan
Risks of Financial Institutions M. Carey and R. Stulz (ed.), Chicago, IL: Univeristy of Chicago Press, February 2005, Forthcoming
36 pages / 161 kb
See also ››
NBER Working Paper No. 10982 

Why Were Banks Better Off in the 2001 Recession?
Federal Reserve Bank of New York Current Issues in Economics and Finance 10 (1), January 2004

Measurement, Estimation and Comparison of Credit Migration Matrices  
With Yusuf Jafry
Journal of Banking and Finance 2004 (28: 11), 2603-2639
53 pages / 380 kb

The New Basel Accord and Questions for Research  
The New Basel Capital Accord Ch. 7, Benton Gup (ed.), SouthWestern/Thomson. 2004
35 pages / 264 kb

What Do We Know About Loss-Given-Default?  
Credit Risk Models and Management 2nd Edition, London, UK: Risk Books Ch. 9, D. Shimko (ed.), February 2004. 2004
30 pages / 267 kb

Capital Regulation for Position Risk in Banks, Securities Firms and Insurance Companies  
With Richard Herring
Capital Adequacy: Law, Regulation, and Implementation, Oxford University Press H. Scott (ed.), 2005
108 pages / 493 kb

Credit Risk and Macroeconomic Dynamics  
With M. Hashem Pesaran
Medium Econometrische Toepassingen March 2003 (1) (Jan Tinbergen edition), 27-32
13 pages / 443 kb

Risk Measurement, Risk Management and Capital Adequacy of Financial Conglomerates  
A. Kuritzkes and S. Weiner
Brookings-Wharton Papers in Financial Services Herring, R. and R. Litan (eds.), 2003, 141-194
54 pages / 487 kb

Modeling Regional Interdependencies Using A Global Error-Correcting Macroeconometric Model
Journal of Business and Economic Statistics 2004 (22: 2), 129-162 and 175-181

Ratings Migration and the Business Cycle, With Applications to Credit Portfolio Stress Testing  
With A. Bangia, F.X. Diebold, A. Kronimus and C. Schagen
Journal of Banking & Finance 2002, (26: 2/3), 235-264

Changing Regulatory Capital to Include Liquidity and Management Intervention
With C. Marrison and J. Stroughair
Journal of Risk Finance Summer 2000

Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management
With A. Bangia, F. Diebold, and J. Stroughair
Wharton Financial Institutions Working Paper 99-06. Published in abridged form as "Liquidity on the Outside", Risk 12, June 1999, 68-73. Reprinted in expanded form as "Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management," in S. Figlewski and R. Levich (eds.), Risk Management: The State of the Art. Amsterdam: Kluwer Academic Publishers, 2001.

Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management  
With F.X. Diebold and J. Stroughair
Wharton Financial Institutions Center Working Paper 98-10. Ch. 1 in A.P.N. Refenes, A.N. Burgess and J.D. Moody (eds.), Advances in Computational Finance. Amsterdam: Kluwer Academic Publishers, 1998.
See also ››
Reprinted in The Journal of Risk Finance, Winter 2000.
Reprinted in Extremes and Integrated Risk Management London: Risk Books, 2000.

Horizon Problems and Extreme Events in Financial Risk Management  
With P. Christoffersen and F.X. Diebold
Federal Reserve Bank of New York Economic Policy Review October 1998, 109-118

Risk, Capital and Value Measurement in Financial Institutions: Part II, The Shareholder’s Perspective
With P.K. Nakada and J. Drzik
The Journal of Lending & Credit Risk Management November 1998
See also ››
Reprinted in Tecnologia de Crédito (Credit Technology), Sao Paolo, Brazil: SERASA, January 2000

Risk, Capital and Value Measurement in Financial Institutions: Part I, The Debtholder’s Perspective
With P.K. Nakada and J. Drzik
The Journal of Lending & Credit Risk Management September 1998

The Efficiency-Equity Tradeoff of Schooling Outcomes: Public Education Expenditures and Welfare in Mexico
With A.I. Gershberg
Economics of Education Review Vol. 20, 2001, 27-40

Exact Maximum Likelihood Estimation of Observation-Driven Econometric Models, in R.S. Mariano, M. Weeks and T. Schuermann (eds.)
With F.X. Diebold
Simulation-Based Inference in Econometrics: Methods and Applications. Cambridge: Cambridge University Press, 2000>

Risk Management in the Financial Services Industry: Through a Statistical Lens
Approaches to Fraud Detection & Risk Management, Technical Report WS-97-07, AAAI Press, 1997

Fraud/Uncollectible Debt Detection Using a Bayesian Network Based Learning System: A Rare Binary Outcome with Mixed Data Structures
With K.J. Ezawa
Proceedings of the Eleventh Conference on Uncertainty in Artificial Intelligence Morgan Kaufman: Palo Alto, 1995

A Bayesian Network Based Learning System: Architecture and Performance Comparison with Other Methods
With K.J. Ezawa
Symbolic and Quantitative Approaches to Reasoning and Uncertainty C. Froideveaux, J. Kohlas (Eds.), Lecture Notes in Artificial Intelligence 946, 197-206, Springer: Berlin, 1995

Expectations: Are They Rational, Adaptive or Naive? An Essay in Simulation-Based Inference
With M. Nerlove
Advances in Econometrics and Quantitative Economics Maddala, G.S., Peter C.B. Phillips and T.N. Srinivasan (eds.), in honor of C.R. Rao. Basil Blackwell Publishers, Cambridge, 1995

Pricing to Market and Exchange Rate Pass-Through: Evidence from Business Survey Data
With D. Willson
CIRET Studien, 43: Contributed Papers submitted for the 20th CIRET Conference 1991 in Budapest; Ifo Institut: Munich, 1992

Books

Simulation-Based Inference in Econometrics: Methods and Applications
Edited with R. Mariano and M. Weeks
Cambridge University Press, 2000

Book Reviews

A Review of Recent Books on Credit Risk  
Journal of Applied Econometrics February 2005, 20, 123-130
11 pages / 121 kb

Extremities and Limitations
With F.X. Diebold
Risk 12, Vol. 3, 63, 1999. A book review of Modelling Extremal Events for Insurance and Finance by P. Embrechts, C. Klüppelberg and T. Mikosch, Springer Verlag, 1997 .

Til Schuermann's CV

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.