Til Schuermann

Senior Economist -- Banking Studies Function

Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
USA

• University of Pennsylvania, Ph. D. (Economics) (1993)
• Financial risk management, Bank regulation, Applied econometrics.
• Dr. Til Schuermann is Senior Economist in the Banking Studies Function at the Federal Reserve Bank of New York. His research focuses on risk measurement and management in financial institutions and capital markets. He is also a Sloan Research Fellow at the Wharton Financial Institution Center. Recent research includes linking credit risk and business cycles, risk management in a financial conglomerate, risk-based pricing of deposit insurance, and credit migration dynamics. Prior to joining the New York Fed, he was a Director and Head of Research at the management consulting firm Oliver, Wyman & Company. From 1993 to 1996 he was at Bell Laboratories.

Web Pages
Official Home Page	Economists - Til Schuermann	Bio, CV, Publications, and Working Papers
	Til Schuermann	(Typically) Current & Past Affiliations, Education, Connections, etc.

Publications: that are posted on DefaultRisk.com

Credit Modeling

Firm Heterogeneity and Credit Risk Diversification
by Samuel G. Hanson of Harvard University,
M. Hashem Pesaran of the University of Cambridge & University of Southern California, and
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center
(527K PDF) -- 46 pages -- November 2007

Credit Risk and Macroeconomic Dynamics
by M. Hashem Pesaran of the University of Cambridge, and
Til Schuermann of the Federal Reserve Bank of New York
(701K PDF) -- 6 pages -- March 2003

Recovery Rates

What Do We Know About Loss-Given-Default?
by Til Schuermann of the Federal Reserve Bank of New York
(272K PDF) -- 30 pages -- February 2004

Supervisory

What We Know, Don't Know and Can't Know About Bank Risk: A view from the trenches
by Andrew Kuritzkes of Mercer Oliver Wyman, and
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center
(195K PDF) -- 58 pages -- March 23, 2008

Credit Correlation

Macroeconomic Dynamics and Credit Risk: A Global Perspective
by M. Hashem Pesaran of the University of Cambridge & USC,
Til Schuermann of the Federal Reserve Bank of New York & Wharton University,
Björn-Jakob Treutler of Mercer Oliver Wyman & WHU, and
Scott M. Weiner of the University of Oxford
(921K) -- 60 pages -- April 12, 2005

Model Testing / Stress Testing

Metrics for Comparing Credit Migration Matrices
by Yusuf Jafry, and
Til Schuermann of the Federal Reserve Bank of New York
(610K PDF) -- 45 pages -- March 25, 2003

Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of New York University, NBER & the Oliver Wyman Institute, and
Til Schuermann of Oliver, Wyman & Company
(141K PDF) -- 45 pages -- April 11, 2000

Credit Scoring

Estimating Probabilities of Default
by Til Schuermann of the Federal Reserve Bank of New York, and
Samuel Hanson of the Federal Reserve Bank of New York
(382K PDF) -- 36 pages -- July 2004

Liquidity

How Do Banks Manage Liquidity Risk? Evidence from the equity and deposit markets in the Fall of 1998
by Evan Gatev of Boston College,
Til Schuermann of the Federal Reserve Bank of New York & Wharton, and
Philip E. Strahan of Boston College, Wharton , & NBER
(165K PDF) -- 36 pages -- February 2005

Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
by Anil Bangia of Oliver, Wyman & Company,
Francis X. Diebold of the University of Pennsylvania & the Oliver Wyman Institute,
Til Schuermann of Oliver, Wyman & Company, and
John D. Stroughair of Oliver, Wyman & Company
(115K PDF) -- 16 pages -- December 21, 1998

Other Credit

Credit Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York & University of Pennsylvania
(412K PDF) -- 32 pages -- August 2007

Global Business Cycles and Credit Risk
by M. Hashem Pesaran of the University of Cambridge,
Til Schuermann of the Federal Reserve Bank of New York & Wharton Financial Institutions Center, and
Björn-Jakob Treutler of Mercer Oliver Wyman
(837K PDF) -- 61 pages -- September 2005

Confidence Intervals for Probabilities of Default
by Samuel Hanson of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(388K PDF) -- 44 pages -- July 19, 2005

A General Approach to Integrated Risk Management with Skewed Fat-tailed Risks
by Joshua Rosenberg of the Federal Reserve Bank of New York, and
Til Schuermann of the Federal Reserve Bank of New York
(641K PDF) – 69 pages -- February 4, 2005

Measurement, Estimation and Comparison of Credit Migration Matrices
by Yusuf Jafry of the Risk Integrated Group, and
Til Schuermann of the Federal Reserve Bank of New York
(441K PDF) -- 37 pages -- November 2004

Book Chapters:

	Credit Risk: Models and Management -- 2nd Ed. by David Shimko (Editor) Risk Books, 1999, Hardcover, 332 page
	The New Basel Capital Accord by Benton E. Gup (editor), South-Western Educational Publishing, July 1, 2004, Hardcover, 462 pages

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