Martin Scheicher

European Central Bank (ECB)

Adviser

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

http://www.ecb.europa.eu

SCHOLARLY PAPERS

24

DOWNLOADS
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SSRN RANKINGS

Top 8,744

in Total Papers Downloads

9,856

SSRN CITATIONS
Rank 3,101

SSRN RANKINGS

Top 3,101

in Total Papers Citations

318

CROSSREF CITATIONS

261

Scholarly Papers (24)

1.

Securitisation: Instruments and Implications

HANDBOOK OF BANKING, A. Berger, P. Molyneux and J. Wilson, eds., Oxford University Press
Number of pages: 52 Posted: 16 May 2009 Last Revised: 20 May 2009
Martin Scheicher and David Marques-Ibanez
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 1,540 (23,017)
Citation 2

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Securitisation, Banks, CDOs, CDS, Valuation, Credit, Risk

2.

An Analysis of Euro Area Sovereign CDS and Their Relation with Government Bonds

ECB Working Paper No. 1271
Number of pages: 49 Posted: 04 Dec 2010
Alessandro Fontana and Martin Scheicher
European Insurance and Occupational Pensions Authority and European Central Bank (ECB)
Downloads 1,151 (35,215)
Citation 88

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Credit Spread, CDS, government bond, financial crisis, limits to arbitrage

What Do Asset Prices Have to Say about Risk Appetite and Uncertainty?

ECB Working Paper No. 1037
Number of pages: 47 Posted: 15 Apr 2009
Geert Bekaert, Marie Hoerova and Martin Scheicher
Columbia University - Columbia Business School, Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 479 (110,847)
Citation 7

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Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics

4.

Asset Correlations and Credit Portfolio Risk: An Empirical Analysis

Bundesbank Series 2 Discussion Paper No. 2007,13
Number of pages: 52 Posted: 08 Jun 2016
Klaus Duellmann, Martin Scheicher and Christian Schmieder
Deutsche Bundesbank, European Central Bank (ECB) and International Monetary Fund (IMF)
Downloads 853 (53,715)
Citation 6

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Asset correlations, sector concentration, credit portfolio risk

A Value at Risk Analysis of Credit Default Swaps

ECB Working Paper No. 968
Number of pages: 34 Posted: 20 Nov 2008
Burkhard Raunig and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 536 (96,662)

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Credit Default Swap, Value at Risk, Structural Credit Risk Models

A Value at Risk Analysis of Credit Default Swaps

Bundesbank Series 2 Discussion Paper No. 2008,12
Number of pages: 44 Posted: 08 Jun 2016
Burkhard Raunig and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 196 (285,252)

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Credit default swap, Value at Risk, Capital structure arbitrage

6.

The New Basel Capital Framework and its Implementation in the European Union

ECB Occasional Paper No. 42
Number of pages: 58 Posted: 28 Dec 2005
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 707 (68,912)

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Banks, Basel II, capital requirements, financial regulation, financial stability, financial supervision, risk management

7.
Downloads 563 (91,855)
Citation 120

Central Clearing and Collateral Demand

Rock Center for Corporate Governance at Stanford University Working Paper No. 171
Number of pages: 39 Posted: 01 Feb 2014 Last Revised: 16 Apr 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 332 (168,541)
Citation 2

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Central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

ECB Working Paper No. 1638
Number of pages: 41 Posted: 14 Mar 2014
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 127 (412,379)
Citation 1

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central clearing party, margin, credit default swap, collateral, client clearing

Central Clearing and Collateral Demand

NBER Working Paper No. w19890
Number of pages: 39 Posted: 11 Feb 2014 Last Revised: 08 May 2022
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 104 (479,487)
Citation 32

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The ABX: How Do the Markets Price Subprime Mortgage Risk?

BIS Quarterly Review September 2008
Number of pages: 15 Posted: 20 Jul 2012
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 337 (165,865)

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ABX, credit risk, subprime mortgages, pricing

The ABX: How Do the Markets Price Subprime Mortgage Risk?

BIS Quarterly Review, September 2008
Number of pages: 15 Posted: 20 Jul 2012
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 200 (280,014)

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The Anatomy of the Euro Area Interest Rate Swap Market

ECB Working Paper No. 2242 (2019); ISBN 978-92-899-3504-3
Number of pages: 70 Posted: 19 Feb 2019
Swiss Finance Institute, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 418 (130,219)

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OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging

The Anatomy of the Euro Area Interest Rate Swap Market

SAFE Working Paper No. 255, 2019
Number of pages: 60 Posted: 08 Aug 2019
Swiss Finance Institute, European Central Bank (ECB), Goethe University Frankfurt - Faculty of Economics and Business Administration and European Central Bank (ECB)
Downloads 92 (521,151)
Citation 1

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OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging

10.

Asset Relief Measures in the EU: Overview and Issues

Number of pages: 76 Posted: 16 Sep 2010
Yassine Boudghene, Stan Maes, Stan Maes and Martin Scheicher
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management, European Commission - DG Internal market and financial servicesEuropean Commission - DG Competition and European Central Bank (ECB)
Downloads 462 (117,016)
Citation 3

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Asset relief, impaired assets, asset purchase, asset guarantee

11.

How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches

ECB Working Paper No. 910
Number of pages: 46 Posted: 01 Jul 2008 Last Revised: 17 Nov 2021
Martin Scheicher
European Central Bank (ECB)
Downloads 392 (141,516)
Citation 6

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Credit Spread, Credit derivative, Collateralised Debt Obligation, Correlation

12.

Modelling the Implied Probability of Stock Market Declines

Number of pages: 27 Posted: 16 Feb 2002
Ernst Glatzer and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 341 (165,001)
Citation 1

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13.

The Pricing of Subprime Mortgage Risk in Good Times and Bad: Evidence from the ABX.HE Indices

ECB Working Paper No. 1056, BIS Working Paper No. 279
Number of pages: 40 Posted: 30 Jul 2009
Ingo Fender and Martin Scheicher
Bank for International Settlements (BIS) and European Central Bank (ECB)
Downloads 318 (177,717)
Citation 2

Abstract:

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ABX index, mortgage-backed securities, pricing, risk premia

14.

Modelling the Implied Probability of Stock Market Movements

Number of pages: 39 Posted: 06 Feb 2003
Ernst Glatzer and Martin Scheicher
Austrian National Bank - Economic Studies Division and European Central Bank (ECB)
Downloads 314 (180,074)
Citation 1

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Option prices, risk-neutral density, volatility, spillover

15.
Downloads 222 (255,005)
Citation 15

How Does Risk Flow in the Credit Default Swap Market?

ECB Working Paper No. 2041
Number of pages: 42 Posted: 24 May 2017
University of Zurich, University of Zurich - Department Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 165 (332,839)
Citation 6

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flow-of-risk, systemic risk, credit default swap, financial networks, network architecture

How Does Risk Flow in the Credit Default Swap Market?

ESRB: Working Paper Series No. 2016/33
Number of pages: 42 Posted: 05 Nov 2020
University of Zurich, University of Zurich - Department Finance, European Systemic Risk Board and European Central Bank (ECB)
Downloads 57 (685,958)
Citation 3

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flow-of-risk, systemic risk, credit default swap, financial networks, network architecture

The Forecasting Performance of German Stock Option Densities

FRB of Cleveland Working Paper No. 03-12
Number of pages: 34 Posted: 01 Nov 2007
Ben R. Craig, Ernst Glatzer, Joachim Keller and Martin Scheicher
Federal Reserve Bank of Cleveland, Austrian National Bank - Economic Studies Division, Deutsche Bundesbank - Economic Research Centre and European Central Bank (ECB)
Downloads 134 (395,193)
Citation 1

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option prices, risk-neutral density, density evaluation, overlapping data

The Forecasting Performance of German Stock Option Densities

Bundesbank Series 1 Discussion Paper No. 2003,17
Number of pages: 44 Posted: 08 Jun 2016
Ben R. Craig, Ernst Glatzer, Joachim Keller and Martin Scheicher
Federal Reserve Bank of Cleveland, Austrian National Bank - Economic Studies Division, Deutsche Bundesbank - Economic Research Centre and European Central Bank (ECB)
Downloads 35 (841,999)

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option prices, risk-neutral density, density evaluation, overlapping data

17.

The Network Structure of the CDS Market and its Determinants

ECB Working Paper No. 1583
Number of pages: 46 Posted: 12 Sep 2013
Tuomas A. Peltonen, Martin Scheicher and Guillaume Vuillemey
European Central Bank (ECB), European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 155 (351,038)
Citation 30

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Credit Default Swap (CDS), financial networks, network topology, network determinants

18.

Assessing Contagion Risks from the CDS Market

ESRB: Occasional Paper Series No. 2013/04
Number of pages: 46 Posted: 05 Nov 2020
Princeton University - Department of Economics, Banque de France, affiliation not provided to SSRN, Banque de France, European Securities and Markets Authority, Deutsche Bundesbank, European Systemic Risk Board, Deutsche Bundesbank, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 108 (463,555)
Citation 8

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CDS, contagion, systemic risk, derivatives

19.

Indirect Contagion: The Policy Problem

ESRB: Occasional Paper Series No. 2016/09
Number of pages: 34 Posted: 05 Nov 2020
Banque de France, Columbia University - Columbia Business School, European Central Bank, European Systemic Risk Board, London Business School - Department of Economics and European Central Bank (ECB)
Downloads 99 (492,637)
Citation 20

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contagion, systemic risk, financial distress, liquidity shortages

20.

CCP Initial Margin Models in Europe

ECB Occasional Paper No. 2023/314
Number of pages: 36 Posted: 06 Apr 2023
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 85 (542,540)

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Central Counterparties, initial margin models, model governance and validation., risk management

21.

The Market Liquidity of Interest Rate Swaps

ESRB: Working Paper Series 2024/147
Number of pages: 53 Posted: 04 Mar 2024
Ismael Alexander Boudiaf, Immo Frieden and Martin Scheicher
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 75 (584,033)

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fixed income, liquidity, market structure, swap

22.

Intermediation in Us and EU Bond and Swap Markets: Stylised Facts, Trends and Impact of the Coronavirus (Covid-19) Crisis in March 2020

ESRB: Occasional Paper Series 2023/24
Number of pages: 46 Posted: 20 Nov 2023
Martin Scheicher
European Central Bank (ECB)
Downloads 44 (753,029)

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bonds, dealers, fixed income, liquidity, market structure, swaps

23.

Trade Versus Time Series Based Volatility Forecasts: Evidence from the Austrian Stock Market

Financial Markets and Portfolio Management, Vol. 15, No. 4, 2001
Posted: 06 Sep 2005
Martin Scheicher, Alfred Lehar and Günter Strobl
European Central Bank (ECB), University of Calgary - Haskayne School of Business and University of Vienna - Department of Finance

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24.

Nonlinear Dynamics: Evidence for a Small Stock Exchange

Posted: 14 Mar 1999
Martin Scheicher
European Central Bank (ECB)

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