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Til Schuermann
Partner -- Financial Services Risk Management Oliver, Wyman & Company, LLC, Management Consultants
1166 Avenue of the Americas
New York, NY 10036-2726
USA - University of Pennsylvania, Ph. D. (Economics) (1993)
- Financial risk management, Bank regulation, Applied econometrics.
- Dr. Til Schuermann is with the Management Consulting firm Oliver Wyman & Company. Formerly, he was Research Officer 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 Institutions Center and an associate editor for the Journal of Risk.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (212) 541-8100 | | e-mail |
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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 Robust Capital Regulation
by Viral Acharya of New York University,
Hamid Mehran of Federal Reserve Bank of New York,
Til Schuermann of Oliver Wyman, and
Anjan Thakor of Washington University in St. Louis & European Corporate Governance Institute
(347K PDF) -- 11 pages -- January 2012 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 Kuritzkes, Andrew, Til Schuermann, Scott M. Weiner, "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, Vol. 27, No. 3, (September 2005), pp. 217-242. 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 Stress Testing Banks
by Til Schuermann of Oliver Wyman & Wharton Financial Institutions Center
(139K PDF) -- 61 pages -- April 17, 2012 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 Books & Book Chapters:  | Encyclopedia of Quantitative Finance (4-Volume Set)
Editor in Chief: Rama Cont
Wiley, (April 26, 2010), Hardcover, 2194 pages |  | Credit Risk: Models and Management -- 2 nd 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 |  | Simulation-based Inference in Econometrics: Methods and Applications
Editors: Roberto Mariano, Til Schuermann, Melvyn J. Weeks, Cambridge University Press, (August 7, 2000), Hardcover, 476 pages |  | Advances in Econometrics and Quantitative Economics
Editors: G. S. Maddala, T. N. Srinivasan, Peter Phillips, Wiley-Blackwell, (July 11, 1995), Hardcover, 528 pages |
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