Research

Publications


Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk 

Journal of Financial and Quantitative Analysis forthcoming

Working Paper | Internet Appendix | Matlab Code

Spillover Persistence captures the time horizon over which financial losses cascade in the financial system.

Loss Sharing in Central Clearinghouses: Winners and Losers with Loriana Pelizzon and Mila Getmansky Sherman

Review of Asset Pricing Studies 14(2), 2024, 237–273

Published Version | Working Paper | Internet Appendix | Slides  

Central clearing of derivatives favors dealers with flat portfolios compared to end-investors owing to loss sharing rules, which central clearinghouses choose to maximize fee income.

Constrained Efficient Equilibria in Selection Markets With Continuous Types with Irina Gemmo and Casey Rothschild 

Journal of Public Economics 190, 2020, 104237

Publisher's Version | Working Paper | Matlab Code

An equilibrium concept for markets with continuous unobservable types that leads to constrained efficient allocations

Ongoing Work


Investor-Driven Corporate Finance: Evidence from Insurance Markets

R&R Review of Financial Studies

Bond demand by insurance companies affects the financing and investment decisions of nonfinancial firms through its price impact.
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)

The Implications of CIP Deviations for International Capital Flows with Jean-David Sigaux and Quentin Vandeweyer

R&R Journal of Finance

The landscape of currency risk hedging in the euro-area and the impact of CIP deviations on international bond markets
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)

Life Insurance Convexity with Nicolaus Grochola and Helmut Gründl

R&R Journal of Banking and Finance

When interest rates rise, life insurance customers withdraw their savings, which can trigger significant asset sales and price impact.
Presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020)

Homeowners Insurance and the Transmission of Monetary Policy with Dominik Damast and Jakob Ahm Sørensen

Contractionary monetary policy shocks result in higher homeowners insurance prices, driven by balance sheet constraints. This amplifies the effects of monetary policy on real estate and mortgage markets. 

Margins as Canaries in the Coal Mine with Martin Oehmke

[coming soon]

We study the optimal design of margins and central clearinghouses when these (can) replace defaulted sellers.