Research
Publications
Publications
Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk
Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk
Journal of Financial and Quantitative Analysis forthcoming
Journal of Financial and Quantitative Analysis forthcoming
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, 237–273Loss Sharing in Central Clearinghouses: Winners and Losers with Loriana Pelizzon and Mila Getmansky Sherman
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, 104237Constrained Efficient Equilibria in Selection Markets With Continuous Types with Irina Gemmo and Casey Rothschild
An equilibrium concept for markets with continuous unobservable types that leads to constrained efficient allocations
Ongoing Work
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.R&R Review of Financial Studies
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
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 marketsR&R Journal of Finance
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 Journal of Banking and Finance
When interest rates rise, life insurance customers withdraw their savings, which can trigger significant asset sales and price impact.R&R Journal of Banking and Finance
Presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020)
[draft available on request]
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. [draft available on request]
Margins as Canaries in the Coal Mine with Martin Oehmke
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.[coming soon]
[permanent working paper]
When prudent consumers are uncertain about the payoff of insurance contracts, they buy too much insurance.[permanent working paper]