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Pawel J. Szerszen

Economist

Risk Analysis Section

Research and Statistics

202-452-3745
pawel.j.szerszen@frb.gov
Education
  • Ph.D., Economics, University of Southern California, 2008
  • M.S., Mathematical Finance, University of Southern California, 2006
  • B.A., Economics, Warsaw School of Economics, 2002
  • Current Research Topics

  • Stochastic Volatility in Credit Spreads
  • Information Content of High-Frequency Volatility
    • Economist

      Board of Governors of the Federal Reserve System

    • 2008 - present
  • conference

    June 2014

    International Risk Management Conference (Warsaw School of Economics)

    An Evaluation of Bank VaR Measures for Market Risk during and before the Financial Crisis

  • conference

    June 2013

    International Risk Management Conference (Copenhagen Business School)

    Bayesian Estimation of Time-Changed Default Intensity Models

  • discussion

    December 2012

    Risk Quantification Forum (Federal Reserve Bank of Philadelphia)

    A Dynamic Hierarchical Bayesian Model for the Probability of Default

  • conference

    June 2012

    European Finance Association Annual Meeting (Copenhagen Business School)

    Bayesian Estimation of Time-Changed Default Intensity Models

  • seminar

    June 2012

    Economic Institute Seminar (National Bank of Poland)

    Bayesian Estimation of Time-Changed Default Intensity Models

  • conference

    March 2012

    Annual Derivatives Securities and Risk Management Conference (Federal Deposit Insurance Corporation, Arlington, VA)

    Stochastic Time-Change of Default Intensity Models: Pricing and Estimation

  • conference

    August 2011

    Econometric Society European Meeting (University of Oslo)

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

  • conference

    August 2011

    Japanese-European Bayesian Econometrics and Statistics Meeting (Norges Bank, Oslo)

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

  • conference

    June 2011

    The Society for Financial Econometrics Conference (University of Chicago)

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

  • conference

    June 2010

    International Risk Management Conference (New York University, Florence Campus)

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

Conference Organization

  • September 2013 Federal Reserve Board, Washington, D.C.

    NBER-NSF Time Series Conference

    Program Committee Member

Referee

  • Computational Statistics
  • International Journal of Forecasting
  • Journal of Applied Econometrics
  • Journal of Business and Economic Statistics
  • Journal of Econometrics
  • Journal of Empirical Finance
  • Journal of Financial Econometrics
  • Quantitative Finance
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Last update: October 20, 2014