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Martin Scheicher

Horizontal Line Supervision

Division

Credit Risk Experts

Current Position

Adviser

Fields of interest

Financial Economics

Email

martin.scheicher@ecb.europa.eu

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, 136-158
How did the Greek credit event impact the credit default swap market?
  • G. Halaj
  • T. Peltonen and M.Scheicher
2018
Journal of Financial Stability 35, 53-74
How does risk flow in the credit default swap market?
  • M. D’Errico
  • S. Battiston
  • T. Peltonen and M.Scheicher
2016
Journal of Banking & Finance 62, 126–140
An analysis of euro area sovereign CDS and their relation with government bonds
  • A. Fontana and M.Scheicher
2015
Journal of Financial Economics 116, 237 - 256
Central Clearing and Collateral Demand
  • D. Duffie
  • M.Scheicher and G. Vuillemey
2014
Journal of Financial Stability 13, 118–133
The network structure of the CDS market and its determinants
  • T. Peltonen
  • M.Scheicher and G. Vuillemey
2013
Banque de France Financial Stability Review, 17, 2013, 123-134
Assessing contagion risks in the CDS market
  • M. Brunnermeier
  • L. Clerq and M.Scheicher
2011
Journal of Risk, 13, 3-29
A value-at-risk analysis of credit default swaps
  • B.Raunig and M.Scheicher
2009
Applied Financial Economics, 19, 1925 - 1945
The pricing of subprime mortgage risk in good times and bad: Evidence from the ABX.HE indices
  • I. Fender and M.Scheicher
2008
Journal of Credit Risk 4, 2008, 1 - 26
Asset correlations and credit portfolio risk: An empirical analysis
  • K. Duellmann
  • C. Schmieder
  • M. Scheicher
2006
Studies in Nonlinear Dynamics & Econometrics 10/4, 2006, 1-35
The volatility of stock market returns: Markov chain Monte Carlo analysis of a switching ARCH model
  • S. Kaufmann
  • M. Scheicher
2005
Journal of Futures Markets 25, 2005, 515 -536
What moves the tail? The determinants of the option-implied probability density function of the DAX index
  • E. Glatzer
  • M. Scheicher
2002
BIS Papers No. 12 - Market functioning and central bank policy, 181-200, 2002
The determinants of credit spread changes in the euro area
  • M. Boss
  • M.Scheicher
2002
Journal of Banking & Finance 26, 2002, 323-45
GARCH vs. Stochastic Volatility: Option Pricing and Risk Management
  • A. Lehar
  • M.Scheicher
  • C. Schittenkopf
2001
Financial Markets & Portfolio Management 15, 2001, 500-515
Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market
  • A. Lehar
  • M. Scheicher
  • G. Strobl
2001
International Journal of Finance & Economics 6, 2001, 27-39
The Comovements of Stock Markets in Hungary, Poland and the Czech Republic.
  • M. Scheicher
2000
European Journal of Finance 6, 2000, 70-91
Time-Varying Risk in the German Stock Market
  • M.Scheicher
1999
Empirical Economics 24, 1999, 45-59
Nonlinear Dynamics: Evidence for a Small Stock Exchange
  • M. Scheicher
2018
Securitisation: Past, present and future
Securitisation: Key trends after the crisis
  • M.Scheicher and S.Wehmeyer
2010
Oxford Handbook of Banking
Securitisation: Instruments and Implications
  • D. Marquez
  • M. Scheicher
2009
Stock Market Volatility
The correlation of a firm’s credit spread with its stock price: Evidence from credit default swaps
  • M.Scheicher