Martin Scheicher

Martin Scheicher

ESRB Secretariat

 martin.scheicher@ecb.europa.eu

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
No. Title Authors
2041 How does risk flow in the credit default swap market? Marco D'Errico, Stefano Battiston, Tuomas Peltonen, Martin Scheicher
1638 Central clearing and collateral demand Darrell Duffie, Martin Scheicher, Guillaume Vuillemey
1583 The network structure of the CDS market and its determinants Tuomas Peltonen, Martin Scheicher, Guillaume Vuillemey
1271 An analysis of euro area sovereign CDS and their relation with government bonds Alessandro Fontana, Martin Scheicher
1056 The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices Ingo Fender, Martin Scheicher
1037 What do asset prices have to say about risk appetite and uncertainty? Geert Bekaert, Marie Hoerova, Martin Scheicher
968 A value at risk analysis of cedit default swaps Burkhard Raunig, Martin Scheicher
910 How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches Martin Scheicher
212 Modelling the implied probability of stock market movements Ernst Glatzer, Martin Scheicher
No. Title Authors
42 The New Basel Capital Framework and its implementation in the European Union Frank Dierick, Fatima Pires, Martin Scheicher, Kai Gereon Spitzer
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 --