Martin Scheicher
Horizontal Line Supervision
- Division
-
Credit Risk Experts
- Current Position
-
Adviser
- Fields of interest
-
Financial Economics
Biography
- Education
- 1994-1996
Doctorate in Economics, University of Vienna
- 1993-1994
MSc in Economics, London School of Economics
- 1989-1993
Undergraduate Studies, University of Vienna
- Professional experience
- 2014-
Adviser - DG-Microprudential Supervision 1, European Central Bank
- 2010-2014
Principal Economist - ESRB Secretariat, European Central Bank
- 2005-2010
Senior Economist - Financial Research Division, European Central Bank
- 2004-2005
Expert - Financial Supervision Division, European Central Bank
- 1999-2004
Economist - Austrian Central Bank
- 1994-1999
Assistant Professor - University of Vienna
- Teaching experience
- 2012-2018
Joint Vienna Institute
ECB publications
- 15 February 2019
- 29 March 2017
- 22 December 2016
- 26 January 2016
- 20 February 2014
- 17 September 2013
- 29 August 2013
- 1 December 2010
- 26 May 2009
- 31 March 2009
- 17 November 2008
- 30 June 2008
- 22 December 2005
- 1 January 2003
External publications
- 2018
- Journal of Financial Stability 35, 136-158How did the Greek credit event impact the credit default swap market?
- 2018
- Journal of Financial Stability 35, 53-74How does risk flow in the credit default swap market?
- 2016
- Journal of Banking & Finance 62, 126–140An analysis of euro area sovereign CDS and their relation with government bonds
- 2015
- Journal of Financial Economics 116, 237 - 256Central Clearing and Collateral Demand
- 2014
- Journal of Financial Stability 13, 118–133The network structure of the CDS market and its determinants
- 2013
- Banque de France Financial Stability Review, 17, 2013, 123-134Assessing contagion risks in the CDS market
- 2011
- Journal of Risk, 13, 3-29A value-at-risk analysis of credit default swaps
- 2009
- Applied Financial Economics, 19, 1925 - 1945The pricing of subprime mortgage risk in good times and bad: Evidence from the ABX.HE indices
- 2008
- Journal of Credit Risk 4, 2008, 1 - 26Asset correlations and credit portfolio risk: An empirical analysis
- 2006
- Studies in Nonlinear Dynamics & Econometrics 10/4, 2006, 1-35The volatility of stock market returns: Markov chain Monte Carlo analysis of a switching ARCH model
- 2005
- Journal of Futures Markets 25, 2005, 515 -536What moves the tail? The determinants of the option-implied probability density function of the DAX index
- 2002
- BIS Papers No. 12 - Market functioning and central bank policy, 181-200, 2002The determinants of credit spread changes in the euro area
- 2002
- Journal of Banking & Finance 26, 2002, 323-45GARCH vs. Stochastic Volatility: Option Pricing and Risk Management
- 2001
- Financial Markets & Portfolio Management 15, 2001, 500-515Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market
- 2001
- International Journal of Finance & Economics 6, 2001, 27-39The Comovements of Stock Markets in Hungary, Poland and the Czech Republic.
- 2000
- European Journal of Finance 6, 2000, 70-91Time-Varying Risk in the German Stock Market
- 1999
- Empirical Economics 24, 1999, 45-59Nonlinear Dynamics: Evidence for a Small Stock Exchange
- 2018
- Securitisation: Past, present and futureSecuritisation: Key trends after the crisis
- 2010
- Oxford Handbook of BankingSecuritisation: Instruments and Implications
- 2009
- Stock Market VolatilityThe correlation of a firm’s credit spread with its stock price: Evidence from credit default swaps