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.
| Contact: | | Email address secured by Enkoder. |
| Phone | +1 (212) 720-5968 |
| Fax | +1 (212) 720-8363 |
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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 & USC, and
Til Schuermann of the Federal Reserve Bank of New York and 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
(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 and 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 and 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 Rating Dynamics and Markov Mixture Models
by Halina Frydman of New York University, and
Til Schuermann of the Federal Reserve Bank of New York and 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 and 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:
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