Research
Publications
Publications
Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk [Working Paper | Internet Appendix | Matlab Code]
Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk [Working Paper | Internet Appendix | Matlab Code]
Journal of Financial and Quantitative Analysis forthcoming
* Summary: Spillover Persistence is a novel characteristic of systemic risk, which captures the time horizon over which financial losses cascade in the financial system.* Selected presentations: AEA (2022, Poster), Eastern Finance Association (2021), IWH-FIN-FIRE Workshop (2020), AFA (2017, Poster), German Finance Association (2016), ARIA (2016), EGRIE (2016)Journal of Financial and Quantitative Analysis forthcoming
Loss Sharing in Central Clearinghouses: Winners and Losers [Publisher's Version | Working Paper | Internet Appendix | Slides]
with Loriana Pelizzon and Mila Getmansky ShermanReview of Asset Pricing Studies, 14(2), 2024, 237–273* Summary: Central clearing of derivatives transactions favors dealers with flat portfolios compared to end-investors owing to loss sharing rules, which central clearinghouses choose to maximize fee income. * Selected presentations: AFA (2020), CEBRA (2020), SIAM Financial Mathematics and Engineering (2019), Conference on the Regulation and Operation of Modern Financial Markets (2019), ECB Money Market Workshop (2018), SAFE conference (2018)Loss Sharing in Central Clearinghouses: Winners and Losers [Publisher's Version | Working Paper | Internet Appendix | Slides]
Constrained Efficient Equilibria in Selection Markets With Continuous Types [Publisher's Version | Working Paper | Matlab Code]
with Irina Gemmo and Casey Rothschild Journal of Public Economics, 190, 2020, 104237* Summary: We propose an equilibrium concept for markets with continuous unobservable types that leads to constrained efficient allocations, building on the Miyazaki-Wilson-Spence equilibrium, and formulate a simple algorithm for numerical implementation.Constrained Efficient Equilibria in Selection Markets With Continuous Types [Publisher's Version | Working Paper | Matlab Code]
Working Papers
Working Papers
Investor-Driven Corporate Finance: Evidence from Insurance Markets
R&R
* Summary: Bond demand by insurers affects the financing and investment decisions of nonfinancial firms through its price impact.* Selected presentations: FIRS (2023), AEA-ARIA session (2023), SGF (2023), Chicago Fed Workshop on Non-Bank Financial Intermediaries (2023), German Insurance Science Association (2023), Australasian Finance and Banking Conference (2022)* Coverage: ECB Research Bulletin, VoxEU, SUERFR&R
with Jean-David Sigaux and Quentin Vandeweyer
R&R
* Summary: We study the landscape of currency risk hedging in the euro-area and document the impact of CIP deviations in FX derivatives markets on international bond markets.* Selected presentations: EFA (2024), NFA (2024), Global Capital Allocation Conference (2024), BoE-BdF-IMF-BdI-OECD Workshop on International Capital Flows and Financial Policies (2024), ECB-NYFed Workshop on Non-Bank Financial Institutions (2024), ECB Money Market Conference (2024)R&R
with Nicolaus Grochola and Helmut Gründl
R&R
* Summary: When interest rates rise, life insurance customers withdraw their savings, which can trigger significant asset sales and price impact.* Selected presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020)* Coverage: SUERF, EIOPA Financial Stability Report (2020), ESRB "Enhancing the macroprudential dimension of Solvency II" (2020), Deutsche Bundesbank Financial Stability Review (2018)R&R
Margins as Canaries in the Coal Mine [Coming soon]
with Martin Oehmke* Summary: We study the optimal design of margins and central clearinghouses when these (can) replace defaulted sellers.Margins as Canaries in the Coal Mine [Coming soon]
The Insurance Channel of Monetary Policy [Coming soon]
with Dominik Damast and Jakob Ahm Sørensen * Summary: Insurance companies raise insurance prices in response to contractionary monetary policy shocks as they re-coup market value losses on asset investments. This contraction in insurance supply reduces demand for housing and mortgages, amplifying the negative effects of monetary policy on home prices.The Insurance Channel of Monetary Policy [Coming soon]