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
  • Liquidity Provision in Bond and CDS Markets
  • 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
  • Aramonte, Sirio, and Paweł J. Szerszeń (forthcoming). "Cross-Market Liquidity and Dealer Profitability: Evidence from the Bond and CDS Markets," Journal of Financial Markets.
  • O'Brien, James M., and Pawel J. Szerszen (2017). "An Evaluation of Bank Measures for Market Risk Before, During and After the Financial Crisis," Journal of Banking & Finance, vol. 80, pp. 215-234.
  • Costin, Ovidiu, Michael B. Gordy, Min Huang, and Pawel J. Szerszen (2016). "Expectations of Functions of Stochastic Time with Application to Credit Risk Modeling," Mathematical Finance, vol. 26, no. 4, pp. 748-784.
  • Gordy, Michael B., and Pawel J. Szerszen (2015). "Bayesian Estimation of Time-Changed Default Intensity Models," Finance and Economics Discussion Series 2015-002. Board of Governors of the Federal Reserve System (U.S.).
  • Dobrev, Dobrislav P., and Pawel J. Szerszen (2010). "The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk," Finance and Economics Discussion Series 2010-45. Board of Governors of the Federal Reserve System (U.S.).
  • Szerszen, Pawel J. (2009). "Bayesian Analysis of Stochastic Volatility Models with Lévy Jumps: Application to Risk Analysis," Finance and Economics Discussion Series 2009-40. Board of Governors of the Federal Reserve System (U.S.).
  • 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
Last update: September 14, 2020