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Pawel J. Szerszen

Education

  • Ph.D., Economics, University of Southern California, 2008
  • M.S., Mathematical Finance, University of Southern California, 2006
Current Research Topics
  • Stochastic Volatility in Credit Spreads
  • 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
  • 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
Last update: March 18, 2017