Loss Sharing in Central Clearinghouses: Winners and Losers [Paper / Slides]   

with Loriana Pelizzon and Mila Getmansky ShermanReview of Asset Pricing Studies (forthcoming)
* Short summary: Central clearing of derivatives transactions favors dealers with flat portfolios compared to other market participants, such as end-investors. The reason are loss sharing rules, which central clearinghouses design to maximize total fee income. * Selected 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)

Constrained Efficient Equilibria in Selection Markets With Continuous Types [Publisher's version / Working paper / Matlab replication code]

with Irina Gemmo and Casey Rothschild Journal of Public Economics (2020) 190:104237
* Short summary: 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 [Paper]

R&R Review of Financial Studies

* Short summary: Bond investors affect the financing and investment decisions of nonfinancial firms through their price impact.* Selected 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)* Coverage: ECB Research Bulletin No. 110, VoxEU, SUERF

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk [Paper

R&R Journal of Financial and Quantitative Analysis

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

International Capital Allocation and Currency Risk Hedging [Draft available on request]

with Jean-David Sigaux and Quentin Vandeweyer
* Short summary: We study the landscape of currency risk hedging by euro-area investors and estimate the impact of CIP deviations on investors' demand for hedging and for holding USD assets.

Life Insurance Convexity [Paper]

with Nicolaus Grochola and Helmut GründlPrevious title: Rising interest rates and liquidity risk in the life insurance sector
* Short summary: When interest rates rise, life insurance customers withdraw their savings, which can trigger significant asset sales and price impact.* Selected presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020)

Financial Literacy and Precautionary Insurance [Paper / Slides

with Annette Hofmann and Petra Steinorth
* Short summary: When prudent consumers are uncertain about the payoff of insurance contracts, they buy too much insurance.* Selected presentations: Risk Theory Society (2019), EGRIE (2018), German Insurance Science Association (2018)