Research

Publications

Investor-Driven Corporate Finance: Evidence from Insurance Markets

Review of Financial Studies forthcoming

Life Insurance Convexity with Nicolaus Grochola and Helmut Gründl

Journal of Banking and Finance forthcoming Published Version | Internet Appendix

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk

Journal of Financial and Quantitative Analysis forthcoming Published Version | Internet Appendix | Code

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 | Internet AppendixRAPS Best Paper Award 2025

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

Journal of Public Economics 190, 2020, 104237 Published Version | Code

Ongoing Work

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: AFA (2026), Paris December Finance Meeting (2025), MFA (2025), 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)

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.
Presentations: AFA (2026), FIRS (2025), EFA (2025), IWH FIN-FIRE (2025)

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.

Older Working Papers

Financial Literacy and Precautionary Insurance with Annette Hofmann, and Petra Steinorth (last revised: March 2020)

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