Welcome to the private website of Bernd Schwaab. I am a Senior Economist at the European Central Bank's Financial Research Division. On this website you can find an overview of my research, computer code, a short bio, and contact information.
I hold an M.Phil (2007) and PhD (2011) in Economics from Tinbergen Institute and VU University Amsterdam. My research interests are in financial econom[etr]ics, asset pricing, and risk modeling.
I have worked on the impact evaluation of unconventional monetary policy measures, banks' business model responses to low interest rates, portfolio credit and market risk models, financial stability monitoring, and systemic risk measurement. Methodologically, I am interested in econometric methods for handling nonlinear non-Gaussian factor models, dynamic models for mixed measurement panel data, and time-varying parameter models for observations with heavy tails.
Obvious but important: This is my private site. The views expressed here are my own and do not necessarily reflect those of the European Central Bank or the Eurosystem.