Meet the Researchers
Pawel J. Szerszen
[email protected]
Education
- Ph.D., Economics, University of Southern California, 2008
- M.S., Mathematical Finance, University of Southern California, 2006
- Bayesian Inference
- Financial Risk Measurement and Forecasting
Principal Economist
Board of Governors of the Federal Reserve System
2015 - presentSenior Economist
Board of Governors of the Federal Reserve System
2011 - 2015Economist
Board of Governors of the Federal Reserve System
2008 - 2011
- A Randomized Missing Data Approach to Robust Filtering and Forecasting
Dobrislav Dobrev, Derek Hansen, and Pawel Szerszen
Cornell University (2021)
https://doi.org/10.48550/arXiv.2104.14664 - Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets
Sirio Aramonte and Paweł J. Szerszeń
Journal of Financial Markets (2020)
https://doi.org/10.1016/j.finmar.2020.100559 - An Evaluation of Bank Measures for Market Risk Before, During and After the Financial Crisis
James M. O'Brien and Pawel J. Szerszen
Journal of Banking & Finance (2017)
https://doi.org/10.1016/j.jbankfin.2017.03.002
See also » FRB Working Paper (2014) - Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling
Ovidiu Costin, Michael B. Gordy, Min Huang, and Pawel J. Szerszen
Mathematical Finance (2016)
https://doi.org/10.1111/mafi.12082
See also » FRB Working Paper (2013) - Bayesian Estimation of Time-Changed Default Intensity Models
Michael B. Gordy and Pawel J. Szerszen
Finance and Economics Discussion Series (2015)
https://doi.org/10.17016/FEDS.2015.002 - The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrislav P. Dobrev and Pawel J. Szerszen
Finance and Economics Discussion Series (2010)
https://doi.org/10.17016/FEDS.2010.45 - Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis
Pawel J. Szerszen
Finance and Economics Discussion Series (2009)
https://doi.org/10.17016/FEDS.2009.40
conference
June 2019International Risk Management Conference (Bocconi University)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
May 20199th International Conference of Financial Engineering and Banking Society (University of Economics, Prague)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
December 2018Paris Financial Management Conference (IPAG Business School)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
December 201812th International Conference on Computational and Financial Econometrics (University of Pisa)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
August 201871st European Meeting of the Econometric Society (University of Cologne)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
June 20187th National Bank of Poland Summer Workshop (National Bank of Poland)
Cross-market Liquidity Provision and Dealer Profitability: Evidence from the CDS and Bond Markets
conference
May 2018NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics (Stanford University)
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
July 2017International Conference on Banking and Finance (University of Warsaw)
Cross-market Liquidity Provision and Dealer Profitability: Evidence from the CDS and Bond Markets
conference
June 2014International Risk Management Conference (Warsaw School of Economics)
An Evaluation of Bank VaR Measures for Market Risk during and before the Financial Crisis
conference
June 2013International Risk Management Conference (Copenhagen Business School)
Bayesian Estimation of Time-Changed Default Intensity Models
discussion
December 2012Risk Quantification Forum (Federal Reserve Bank of Philadelphia)
A Dynamic Hierarchical Bayesian Model for the Probability of Default
conference
June 2012European Finance Association Annual Meeting (Copenhagen Business School)
Bayesian Estimation of Time-Changed Default Intensity Models
seminar
June 2012Economic Institute Seminar (National Bank of Poland)
Bayesian Estimation of Time-Changed Default Intensity Models
conference
March 2012Annual Derivatives Securities and Risk Management Conference (Federal Deposit Insurance Corporation, Arlington, VA)
Stochastic Time-Change of Default Intensity Models: Pricing and Estimation
conference
August 2011Econometric Society European Meeting (University of Oslo)
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
conference
August 2011Japanese-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 2011The 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 2010International 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
- Journal of Banking and Finance
- Risk Management