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

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

5

DOWNLOADS

990

SSRN CITATIONS

2

CROSSREF CITATIONS

10

Scholarly Papers (5)

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1.

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 368 (149,768)
Citation 4

Abstract:

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

2.

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

Downloads 349 (158,721)
Citation 2

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 251 (222,391)
Citation 13

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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 98 (493,357)
Citation 13

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

3.

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

Journal of Financial Markets, Forthcoming
Number of pages: 57 Posted: 23 Jul 2018 Last Revised: 06 Apr 2020
Sirio Aramonte and Pawel Szerszen
Federal Reserve Board of Governors and Board of Governors of the Federal Reserve System
Downloads 95 (499,683)
Citation 4

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bonds; credit default swaps; liquidity provision; dealer profitability

4.

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
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 90 (517,154)

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

5.

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
Ovidiu Costin, Michael B. Gordy, Min Huang and Pawel Szerszen
Ohio State University (OSU), Board of Governors of the Federal Reserve System, University of Chicago and Board of Governors of the Federal Reserve System
Downloads 88 (524,458)
Citation 1

Abstract:

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