Bernd Schwaab

Bernd Schwaab is a Research Economist at the European Central Bank's Financial Research Division. He holds a PhD from Tinbergen Institute and VU University Amsterdam (2010). His research interests are in the area of financial stability assessment, such as measures of systemic risk, coincident and early warning indicators, and macro stress testing methodologies. To these purposes Bernd is interested in recent empirical frameworks, such as non-linear non-Gaussian factor models, models for mixed measurement panel data, and time-varying parameter models for multivariate observations with heavy tails.

* Financial stability, systemic risk, stress-testing, macro-prudential policy • Financial econometrics, time series analysis, state space methods, Bayesian econometrics • Portfolio credit risk modeling and credit derivatives valuation