Constrained Efficient Equilibria in Selection Markets With Continuous Types 

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

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.

Working Papers

Investor-Driven Corporate Finance: Evidence from Insurance Markets

Bond investor demand affects the financing and investment decisions of nonfinancial firms through investors' price impact.
Policy coverage

- Presentations at BOE-BOJ-ECB Joint Workshop (2022), ECB (2022), EIOPA (2021)

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)

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk

[Paper / Slides]   (R&R Journal of Financial and Quantitative Analysis)

Spillover Persistence is a novel characteristic of systemic risk, which captures and disentangles fragility and amplification effects in the financial system. 
Presentations: AEA (2022, Poster), Eastern Finance Association (2021), IWH-FIN-FIRE Workshop (2020), University of Bonn Workshop in Financial Economics (2018), AFA (2017, Poster), Deutsche Bundesbank (2017), German Finance Association (2016), ARIA (2016), Huebner Doctoral Colloquium (2016), EGRIE (2016)

Loss Sharing in Central Clearinghouses: Winners and Losers 

with Loriana Pelizzon and Mila Getmansky Sherman 

[Paper / Slides]   (R&R Review of Asset Pricing Studies)

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.
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)

Life Insurance Convexity

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

When interest rates rise, life insurance customers withdraw their savings, which can trigger significant asset sales and price impact.
Policy coverage- Featured in EIOPA's Financial Stability Report (2020), ESRB's "Enhancing the macroprudential dimension of Solvency II" (2020), Deutsche Bundesbank Financial Stability Review (2018) and (2021)- Presentations at ECB (2020), EIOPA (2022, 2018), Deutsche Bundesbank (2018)
Presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020), Bundesbank-CFS-ECB Workshop on Macro and Finance (2018), IAALS Colloquium (2017)

Financial Literacy and Precautionary Insurance

with Annette Hofmann and Petra Steinorth

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

Work in Progress

Climate Change and Financial Stability, with Dominik Damast and Simon Rother

A Theory of Margins and Central Clearing, with Martin Oehmke