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Til Schuermann
Til Schuermann
Partner, Oliver Wyman
Verified email at oliverwyman.com
Title
Cited by
Cited by
Year
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
14972004
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
14932004
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
14932004
Understanding the securitization of subprime mortgage credit
AB Ashcraft, T Schuermann
Foundations and TrendsŪ in Finance 2 (3), 191-309, 2008
10532008
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
8172002
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
6152006
What do we know about loss given default?
T Schuermann
February 2004). Wharton Financial Institutions Center Working Paper, 2004
5572004
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
4802006
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
4542000
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
4322009
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
421*2008
Measurement, estimation and comparison of credit migration matrices
Y Jafry, T Schuermann
Journal of Banking & Finance 28 (11), 2603-2639, 2004
297*2004
Measurement, estimation and comparison of credit migration matrices
Y Jafry, T Schuermann
Journal of Banking & Finance 28 (11), 2603-2639, 2004
297*2004
Measurement, estimation and comparison of credit migration matrices
Y Jafry, T Schuermann
Journal of Banking & Finance 28 (11), 2603-2639, 2004
2722004
Measurement, estimation and comparison of credit migration matrices
Y Jafry, T Schuermann
Journal of Banking & Finance 28 (11), 2603-2639, 2004
2722004
Credit rating dynamics and Markov mixture models
H Frydman, T Schuermann
Journal of Banking & Finance 32 (6), 1062-1075, 2008
2632008
Forecasting economic and financial variables with global VARs
MH Pesaran, T Schuermann, LV Smith
International journal of forecasting 25 (4), 642-675, 2009
2622009
Stress testing banks
T Schuermann
International Journal of Forecasting 30 (3), 717-728, 2014
2562014
Converting 1-day volatility to h-day volatility: scaling by is worse than you think
FX Diebold, A Hickman, A Inoue, T Schuermann
Penn Institute for Economic Research Working Papers, 97-030, 1997
2281997
Macroprudential supervision of financial institutions: lessons from the SCAP
B Hirtle, T Schuermann, KJ Stiroh
FRB of New York Staff Report, 2009
1802009
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