Martin Scheicher - Central Bank Research Hub

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2010 | 2009 | 2008 | 2005 | 2004 | 2003

Title Other author(s)

How does risk flow in the credit default swap market?

European Central Bank Working papers [View] (Paper: 2041, 29.03.2017)

JEL: G10, G15

How does risk flow in the credit default swap market?

European Systemic Risk Board Working papers [View] (Paper: WP33, 22.12.2016)

JEL: G10, G15

Central clearing and collateral demand

European Central Bank Working papers [View] (Paper: 1638, 20.02.2014)

The network structure of the CDS market and its determinants

European Central Bank Working papers [View] (Paper: 1583, 29.08.2013)

An analysis of euro area sovereign CDS and their relation with government bonds,

European Central Bank Working papers [View] (Paper: 1271, 01.12.2010)

The pricing of subprime mortgage risk in good times and bad: Evidence from the ABX.HE indices

European Central Bank Working papers [View] (Paper: 1056, 27.05.2009)

What do asset prices have to say about risk appetite and uncertainty?

European Central Bank Working papers [View] (Paper: 1037, 15.04.2009)

JEL: E44, G12

The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices

Bank for International Settlements Working papers [View] (Paper: 279, 31.03.2009)

JEL: E43, G12, G13, G14

Are Banks Different? Evidence from the CDS Market

National Bank of the Republic of Austria Working Papers [View] (Paper: WP152, 05.03.2009)

JEL: E43, G12, G13

A value at risk analysis of cedit default swaps

European Central Bank Working papers [View] (Paper: 0968, 17.11.2008)

JEL: E43, G12, G13

The ABX: how do the markets price subprime mortgage risk?

Bank for International Settlements Quarterly Review [View] (Paper: 0809h, 01.09.2008)

JEL: E43, G12, G13, G14

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

European Central Bank Working papers [View] (Paper: 0910, 02.07.2008)

JEL: E43, G12, G13

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

European Central Bank Occasional papers [View] (Paper: 042, 23.12.2005)

JEL: G21, G28

The Forecasting Performance of German Stock Option Densities

Cleveland Fed Working papers [View] (Paper: 0312, 14.04.2004)

JEL: C22, C52, G13, G15

What drives investor risk aversion? Daily evidence from the German equity market

Bank for International Settlements Quarterly Review [View] (Paper: 0306g, 01.01.2004)

Modelling the implied probability of stock market movements

European Central Bank Working papers [View] (Paper: 0212, 02.04.2003)

JEL: C22, C51, G13, G15

Papers by year: All | 2017 | 2016 | 2014 | 2013 | 2010 | 2009 | 2008 | 2005 | 2004 | 2003