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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.