Pawel Szerszen

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

http://www.federalreserve.gov/research/staff/szerszenpawelj.htm

SCHOLARLY PAPERS

5

DOWNLOADS

598

CITATIONS

6

Scholarly Papers (5)

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

FEDS Working Paper No. 2010-45
Number of pages: 48 Posted: 27 Jul 2011
Dobrislav Dobrev and Pawel Szerszen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 175 (170,456)
Citation 5

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Equity return models, parameter uncertainty, Bayesian estimation, high-frequency data, jump-robust volatility measures, value at risk, forecasting

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Number of pages: 43 Posted: 24 Mar 2011
Dobrislav Dobrev and Pawel Szerszen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 75 (318,341)
Citation 5

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Equity return models, Parameter uncertainty, Bayesian estimation, MCMC, High-frequency data, Jump-robust volatility measures, Value at Risk, Forecasting

2.

An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis

FEDS Working Paper No. 2014-21
Number of pages: 53 Posted: 02 Apr 2014
James M. O'Brien and Pawel Szerszen
Board of Governors of the Federal Reserve System - Trading Risk Analysis Section and Board of Governors of the Federal Reserve System
Downloads 193 (156,016)
Citation 4

Abstract:

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market risk, value at risk, backtesting, profit and loss, financial crisis

3.

Bayesian Estimation of Time-Changed Default Intensity Models

FEDS Working Paper No. 2015-002, http://dx.doi.org/10.17016/FEDS.2015.002
Number of pages: 47 Posted: 14 Feb 2015
Michael B. Gordy and Pawel Szerszen
Federal Reserve Board and Board of Governors of the Federal Reserve System
Downloads 65 (340,625)

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Bayesian estimation, CDS, CIR process, Credit derivatives, MCMC, Particle filter, Stochastic time change

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

FEDS Working Paper No. 2013-14
Number of pages: 40 Posted: 09 Apr 2013
Ohio State University (OSU), Federal Reserve Board, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 58 (365,834)

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Stochastic time change, default intensity, credit risk, CDS options

Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling

Mathematical Finance, Vol. 26, Issue 4, pp. 748-784, 2016
Number of pages: 37 Posted: 20 Sep 2016
Ohio State University (OSU), Federal Reserve Board, City University of Hong Kong (CityUHK) and Board of Governors of the Federal Reserve System
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time change, default intensity, credit risk, CDS options

5.

Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets

Number of pages: 46 Posted: 23 Jul 2018
Sirio Aramonte and Pawel Szerszen
Bank for International Settlements (BIS) and Board of Governors of the Federal Reserve System
Downloads 32 (455,379)

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bonds; credit default swaps; liquidity provision; dealer profitability