Scheicher, Martin

Microprudential Supervision I


Significant Bank Supervision V

Current position


Fields of interest

Financial Economics


  • 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

Journal publications

G. Halaj, T. Peltonen and M.Scheicher
How did the Greek credit event impact the credit default swap market?
Journal of Financial Stability 35, 136-158
M. D’Errico, S. Battiston, T. Peltonen and M.Scheicher
How does risk flow in the credit default swap market?
Journal of Financial Stability 35, 53-74
A. Fontana and M.Scheicher
An analysis of euro area sovereign CDS and their relation with government bonds
Journal of Banking & Finance 62, 126–140
D. Duffie, M.Scheicher and G. Vuillemey
Central Clearing and Collateral Demand
Journal of Financial Economics 116, 237 - 256
T. Peltonen, M.Scheicher and G. Vuillemey
The network structure of the CDS market and its determinants
Journal of Financial Stability 13, 118–133
M. Brunnermeier, L. Clerq and M.Scheicher
Assessing contagion risks in the CDS market
Banque de France Financial Stability Review, 17, 2013, 123-134
B.Raunig and M.Scheicher
A value-at-risk analysis of credit default swaps
Journal of Risk, 13, 3-29
I. Fender and M.Scheicher
The pricing of subprime mortgage risk in good times and bad: Evidence from the ABX.HE indices
Applied Financial Economics, 19, 1925 - 1945
K. Duellmann, C. Schmieder, M. Scheicher
Asset correlations and credit portfolio risk: An empirical analysis
Journal of Credit Risk 4, 2008, 1 - 26
S. Kaufmann, M. Scheicher
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
E. Glatzer, M. Scheicher
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
A. Lehar, M.Scheicher, C. Schittenkopf
GARCH vs. Stochastic Volatility: Option Pricing and Risk Management
Journal of Banking & Finance 26, 2002, 323-45
M. Boss, M.Scheicher
The determinants of credit spread changes in the euro area
BIS Papers No. 12 - Market functioning and central bank policy, 181-200, 2002
M. Scheicher
The Comovements of Stock Markets in Hungary, Poland and the Czech Republic.
International Journal of Finance & Economics 6, 2001, 27-39
A. Lehar, M. Scheicher, G. Strobl
Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market
Financial Markets & Portfolio Management 15, 2001, 500-515
Time-Varying Risk in the German Stock Market
European Journal of Finance 6, 2000, 70-91
M. Scheicher
Nonlinear Dynamics: Evidence for a Small Stock Exchange
Empirical Economics 24, 1999, 45-59

Other publications

M.Scheicher and S.Wehmeyer
Securitisation: Key trends after the crisis
Securitisation: Past, present and future, S. Deku and A. Kara (ed)
D. Marquez, M. Scheicher
Securitisation: Instruments and Implications
Oxford Handbook of Banking, A. Berger, P. Molyneux, and J. Wilson (ed)
The correlation of a firm’s credit spread with its stock price: Evidence from credit default swaps
Stock Market Volatility, Greg N. Gregoriou (ed)