Martin Scheicher


Functions:

  • Adviser, Single Supervisory Mechanism

Fields of interest:

  • Risk modelling, credit risk, banking, asset pricing

Education:

  • University of Vienna, London School of Economics

Professional experience:

  • Austrian Central Bank: 1999 - 2004
  • University of Vienna: 1994 -1999
Title Authors Where Date
• Central Clearing and Collateral Demand D. Duffie, M.Scheicher and G. Vuillemey Journal of Financial Economics 116, 237 - 256 --
• Market pricing of euro area sovereign CDS A. Fontana and M.Scheicher Journal of Banking & Finance 62, 126–140 2016-01-06
• The network structure of the CDS market and its determinants T. Peltonen, M.Scheicher and G. Vuillemey Journal of Financial Stability 13, 118–133 --
• Assessing contagion risks in the CDS market M. Brunnermeier, L. Clerq and M.Scheicher Banque de France Financial Stability Review, 17, 2013, 123-134 --
• Securitisation: Instruments and Implications. D. Marquez, M. Scheicher A. Berger, P. Molyneux, and J. Wilson (ed), Oxford Handbook of Banking, Oxford University Press --
• Asset correlations and credit portfolio risk: An empirical analysis K. Duellmann, C. Schmieder, M. Scheicher Journal of Credit Risk 4, 2008, 1 - 26 --
• The volatility of stock market returns: Markov chain Monte Carlo analysis of a switching ARCH model S. Kaufmann, M. Scheicher Studies in Nonlinear Dynamics & Econometrics 10/4, 2006, 1-35 --
• What moves the tail? The determinants of the option-implied probability density function of the DAX index E. Glatzer, M. Scheicher Journal of Futures Markets 25, 2005, 515 -536 --
• The determinants of credit spread changes in the euro area M. Boss, M.Scheicher BIS Papers No. 12 - Market functioning and central bank policy, 181-200, 2002 --
• GARCH vs. Stochastic Volatility: Option Pricing and Risk Management A. Lehar, M.Scheicher, C. Schittenkopf Journal of Banking & Finance 26, 2002, 323-45 --
• Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market A. Lehar, M. Scheicher, G. Strobl Financial Markets & Portfolio Management 15, 2001, 500-515 --
• The Comovements of Stock Markets in Hungary, Poland and the Czech Republic. M. Scheicher International Journal of Finance & Economics 6, 2001, 27-39 --
• Time-Varying Risk in the German Stock Market. M.Scheicher European Journal of Finance 6, 2000, 70-91 --
• Nonlinear Dynamics: Evidence for a Small Stock Exchange M. Scheicher Empirical Economics 24, 1999, 45-59 --