Scheicher, Martin

Microprudential Supervision I
Division
Significant Bank Supervision V
Current position
Adviser
Fields of interest
Education
Professional experience
Teaching experience
ECB Occasional Paper Series
ECB Working Paper Series
2019
2017
2014
2013
2010
2009
The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
No 1056
No 1056
2008
2003
Journal publications
2018
How did the Greek credit event impact the credit default swap market?
Journal of Financial Stability 35, 136-158
How does risk flow in the credit default swap market?
Journal of Financial Stability 35, 53-74
2016
An analysis of euro area sovereign CDS and their relation with government bonds
Journal of Banking & Finance 62, 126–140
2015
Central Clearing and Collateral Demand
Journal of Financial Economics 116, 237 - 256
2014
The network structure of the CDS market and its determinants
Journal of Financial Stability 13, 118–133
2013
Assessing contagion risks in the CDS market
Banque de France Financial Stability Review, 17, 2013, 123-134
2011
A value-at-risk analysis of credit default swaps
Journal of Risk, 13, 3-29
2009
The pricing of subprime mortgage risk in good times and bad: Evidence from the ABX.HE indices
Applied Financial Economics, 19, 1925 - 1945
2008
Asset correlations and credit portfolio risk: An empirical analysis
Journal of Credit Risk 4, 2008, 1 - 26
2006
The volatility of stock market returns: Markov chain Monte Carlo analysis of a switching ARCH model
Studies in Nonlinear Dynamics & Econometrics 10/4, 2006, 1-35
2005
What moves the tail? The determinants of the option-implied probability density function of the DAX index
Journal of Futures Markets 25, 2005, 515 -536
2002
GARCH vs. Stochastic Volatility: Option Pricing and Risk Management
Journal of Banking & Finance 26, 2002, 323-45
The determinants of credit spread changes in the euro area
BIS Papers No. 12 - Market functioning and central bank policy, 181-200, 2002
2001
The Comovements of Stock Markets in Hungary, Poland and the Czech Republic.
International Journal of Finance & Economics 6, 2001, 27-39
Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market
Financial Markets & Portfolio Management 15, 2001, 500-515
2000
Time-Varying Risk in the German Stock Market
European Journal of Finance 6, 2000, 70-91
1999
Nonlinear Dynamics: Evidence for a Small Stock Exchange
Empirical Economics 24, 1999, 45-59
Other publications
2018
Securitisation: Key trends after the crisis
Securitisation: Past, present and future, S. Deku and A. Kara (ed)
2010
Securitisation: Instruments and Implications
Oxford Handbook of Banking, A. Berger, P. Molyneux, and J. Wilson (ed)
2009
The correlation of a firm’s credit spread with its stock price: Evidence from credit default swaps
Stock Market Volatility, Greg N. Gregoriou (ed)