Image of Board Seal

Pawel J. Szerszen

Education

  • Ph.D., Economics, University of Southern California, 2008
  • M.S., Mathematical Finance, University of Southern California, 2006
Current Research Topics
  • Bayesian Inference
  • Financial Risk Measurement and Forecasting
  • Principal Economist

    Board of Governors of the Federal Reserve System

    2015 - present
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2011 - 2015
  • Economist

    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 2019

    International Risk Management Conference (Bocconi University)

    A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance

  • conference

    May 2019

    9th 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 2018

    Paris Financial Management Conference (IPAG Business School)

    A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance

  • conference

    December 2018

    12th 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 2018

    71st 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 2018

    7th 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 2018

    NBER-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 2017

    International Conference on Banking and Finance (University of Warsaw)

    Cross-market Liquidity Provision and Dealer Profitability: Evidence from the CDS and Bond Markets

  • 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
  • Journal of Banking and Finance
  • Risk Management
Back to Top
Last Update: August 2, 2024