Martin Scheicher

European Central Bank (ECB)

Adviser

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

http://www.ecb.europa.eu

SCHOLARLY PAPERS

18

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6,503

CITATIONS
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SSRN RANKINGS

Top 7,422

in Total Papers Citations

64

Scholarly Papers (18)

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 837 (12,171)
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
Joint Research Centre - European Commisison and European Central Bank (ECB)
Downloads 784 (17,259)
Citation 15

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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 Business School - Finance and Economics, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 417 (58,102)
Citation 4

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

4.

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 552 (37,332)
Citation 5

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

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 494 (46,948)

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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 31 (419,425)

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Credit default swap, Value at Risk, Capital structure arbitrage

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 251 (104,256)
Citation 12

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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 180 (143,846)
Citation 12

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7.
Downloads 416 ( 58,838)
Citation 2

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 274 (94,640)
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 82 (263,544)
Citation 2

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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
Darrell Duffie, Martin Scheicher and Guillaume Vuillemey
Stanford University - Graduate School of Business, European Central Bank (ECB) and HEC Paris - Finance Department
Downloads 60 (314,588)
Citation 2

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8.

Asset Relief Measures in the EU: Overview and Issues

Number of pages: 76 Posted: 16 Sep 2010
Yassine Boudghene, Stan Maes and Martin Scheicher
Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management, European Commission - DG Internal market and financial services and European Central Bank (ECB)
Downloads 359 (62,678)
Citation 1

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Asset relief, impaired assets, asset purchase, asset guarantee

9.

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 305 (82,329)
Citation 1

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10.

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: 15 Sep 2008
Martin Scheicher
European Central Bank (ECB)
Downloads 291 (80,253)
Citation 7

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Credit Spread, Credit derivative, Collateralised Debt Obligation, Correlation

11.

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 260 (91,833)
Citation 8

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

12.

Modelling the Implied Probability of Stock Market Movements

ECB Working Paper No. 212
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 247 (102,154)
Citation 1

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Option prices, risk-neutral density, volatility, spillover

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 74 (280,312)
Citation 3

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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 6 (553,826)
Citation 3

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

14.

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 53 (293,236)
Citation 1

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

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 of Banking and Finance, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 0 (315,597)

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

16.

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 0 (392,625)
Citation 2

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Asset correlations, sector concentration, credit portfolio risk

17.

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 G√ľnter Strobl
European Central Bank (ECB), University of Calgary - Haskayne School of Business and Frankfurt School of Finance & Management

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18.

Nonlinear Dynamics: Evidence for a Small Stock Exchange

Empirical Economics, Vol. 24, Issue 1, 1999
Posted: 14 Mar 1999
Martin Scheicher
European Central Bank (ECB)

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