Research

Working Papers

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk


Presentations: AEA (2022, Poster), Eastern Finance Association (2021), IWH-FIN-FIRE Workshop (2020), AFA (2017, Poster), German Finance Association (2017), ARIA (2016), Huebner Doctoral Colloquium (2016), EGRIE (2016)
Summary: Spillover Persistence is a novel characteristic of systemic risk, which captures and disentangles fragility and amplification effects in the financial system.

Life insurance convexity

with Nicolaus Grochola and Helmut GründlPrevious title: Rising interest rates and liquidity risk in the life insurance sector


Policy coverage: - EIOPA's financial stability report 2020- ESRB's suggestions on how to improve regulation of insurers (02/2020)
Presentations: EGRIE (2021), ARIA (2021), SGF (2021), German Insurance Science Association (2021), ARIA-AEA session (2021), Paris December Finance Meeting (2020), Bundesbank-CFS-ECB Workshop on Macro and Finance (2018), EIOPA (2018), IAALS Colloquium (2017)
Summary: When interest rates rise, life insurance customers withdraw their savings, which can trigger significant fire sales.

Loss Sharing in Central Clearinghouses: Winners and Losers

with Loriana Pelizzon and Mila Getmansky Sherman


Presentations: CEBRA (2020), AFA (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)
Summary: Central clearing of derivatives transactions favors dealers with flat portfolios compared to other market participants, such as end-investors. The reasons are market network structure and loss sharing rules of central clearinghouses.

Financial literacy and precautionary insurance

with Annette Hofmann and Petra Steinorth


Presentations: Risk Theory Society (2019), EGRIE (2018), German Insurance Science Association (2018)
Summary: When prudent consumers are uncertain about the payoff of insurance contracts, they buy too much insurance.

Publication

Constrained efficient equilibria in selection markets with continuous types

with Irina Gemmo and Casey Rothschild Journal of Public Economics (2020) 190:104237


Summary: The well-known Miyazaki-Wilson-Spence equilibrium features constrained efficient allocations in competitive markets with adverse selection. We extend this equilibrium concept to continuous type spaces and formulate a simple algorithm for numerical implementation, facilitating future empirical work.