Job Market Paper

Investor-Driven Corporate Finance: Evidence from Insurance Markets

Summary: The bond investments of insurance companies transmit shocks from insurance markets to the real economy and, thereby, affect nonfinancial firms' financing and investment activities.
Policy coverage: - Presentation at EIOPA's Financial Stability Seminar (2021)


Constrained Efficient Equilibria in Selection Markets With Continuous Types

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

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

Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk

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

Summary: 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)

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.
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

Summary: 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)- Presentations at ECB (2020), EIOPA's Financial Stability Seminar (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

Summary: 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

The Impact of Post-Crisis Regulatory Reform on Derivatives Markets, with Piotr Kusmierczyk, Loriana Pelizzon, Mila Getmansky Sherman, Haoxiang Zhu