European Central Bank - eurosystem
European Central Bank - eurosystem
Search
Opcje wyszukiwania
Podstawy Media Warto wiedzieć Badania i publikacje Statystyka Polityka pieniężna €uro Płatności i rynki Praca
Podpowiedzi
Kolejność
Nie ma wersji polskiej

Oleg Reichmann

Risk Management

Division

Risk Strategy

Current Position

Senior Financial Risk Expert

Fields of interest

Mathematical and Quantitative Methods,Other Special Topics

Email

oleg.reichmann@ecb.europa.eu

Education
2009-2012

PhD in Applied Mathematics, ETH Zurich, Switzerland

2004-2008

MA in Business Management, University of Munster, Germany

2003-2008

MA in Mathematics, University of Munster, Germany

Professional experience
2022-

Senior Financial Risk Expert, Directorate Risk Management, European Central Bank

2021-2022

Financial Risk Expert, Directorate Risk Management, European Central Bank

2017-2021

Model Validation Expert, European Investment Bank, Luxemburg

2015-2017

Financial Stability Expert, Swiss National Bank, Zurich, Switzerland

2013-2015

Postdoc and Lecturer in Financial Mathematics, ETH Zurich, Switzerland

2 May 2025
ECONOMIC BULLETIN - BOX
Introducing statistical in-house credit assessment systems (S-ICASs) as an additional source of credit assessments under the general collateral framework
Economic Bulletin Issue 3, 2025
English
Details
Abstract
The statistical in-house credit assessment systems (S-ICASs) of the national central banks of the euro area are quantitative systems which can assess the credit quality of a large number of small and medium-sized enterprises in an automated manner. These can help broaden the set of eligible credit claims accepted as collateral in monetary policy operations. The acceptance of S-ICASs in the general collateral framework as of 2026 is based on a newly developed harmonised framework, enhancing risk efficiency, addressing level-playing-field considerations and improving crisis preparedness within the Eurosystem.
JEL Code
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
E61 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Policy Objectives, Policy Designs and Consistency, Policy Coordination
G01 : Financial Economics→General→Financial Crises
2021
Swiss National Bank - Working paper series
Are banks still 'too big to fail'? - A market perspective
  • Allenspach, N., Reichmann, O. and Rodriguez-Martin, J.
2021
Journal of Theoretical Probability
Existence and uniqueness results for time-inhomogeneous time-change equations and Fokker-Planck equations
  • Döring, L., Gonon, L., Prömel, D. and Reichmann, O.
2019
Annals of Applied Probability
On Skorokhod embeddings and Poisson equations
  • Döring, L., Gonon, L., Prömel, D. and Reichmann, O.
2018
SIAM Journal of Financial Mathematics
Dirichlet Forms and Finite Element Methods for the SABR Model
  • Horvath, B. and Reichmann, O.
2016
SIAM Journal of Numerical Analysis
A convergent difference scheme for a class of partial integro-differential equations modeling pricing under uncertainty
  • Coclite, G., Risebro, N. and Reichmann, O.
2015
Computational Economics
A non-stationary model of dividend distribution in a stochastic interest-rate setting
  • Barth, A., Moreno-Bromberg, S. and Reichmann, O.
2013
Linear Algebra and its Applications
Low-rank tensor structure of linear diffusion operators in the TT and QTT formats
  • Kazeev, V., Reichmann, O. and Schwab, Ch.
2013
Springer
Computational Methods for Quantitative Finance - Finite Element Methods for Derivative Pricing
  • Hilber, N., Reichmann, O., Schwab, Ch., Winter, Ch.
2012
Numerische Mathematik
Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs
  • Reichmann, O.
2012
Mathematical Models and Methods in Applied Sciences
hp-DGFEM for Kolmogorov-Fokker-Planck Equations of Multivariate Lévy Processes
  • Marazzina, D., Reichmann, O. and Ch. Schwab
2012
Energy Policy
Valuation of physical transmission rights- An analysis of electricity cross-border capacities between Germany and the Netherlands
  • Diekmann, B., Reichmann, O. and Wobben, M.
2012
Recent Developments in Computational Finance: Foundations, Algorithms and Applications
Wavelet solution of degenerate Kolmogoroff forward equations for exotic contracts in finance
  • Reichmann, O. and Schwab, Ch.
2010
The Journal of Energy Markets, Risk
Pricing Electricity Derivatives on an Hourly Basis”, with N. Branger and M. Wobben
  • Branger, N., Reichmann, O. and Wobben, M.
2010
Calcolo
Wavelet solution of variable order pseudodifferential equations
  • Reichmann, O., Schneider, R. and Schwab, Ch.
2010
Lévy Matters I Lecture Notes in Mathematics
Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
  • Reichmann, O. and Schwab, Ch.