Research

Publications


Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk 

Journal of Financial and Quantitative Analysis forthcoming

Spillover Persistence is a novel characteristic of systemic risk, which captures the time horizon over which financial losses cascade 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)

Loss Sharing in Central Clearinghouses: Winners and Losers with Loriana Pelizzon and Mila Getmansky Sherman

Review of Asset Pricing Studies 14(2), 2024, 237–273

Central clearing of derivatives transactions favors dealers with flat portfolios compared to end-investors owing to loss sharing rules, which central clearinghouses choose to maximize 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 with Irina Gemmo and Casey Rothschild 

Journal of Public Economics 190, 2020, 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.

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.
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, VoxEU, SUERF

The Implications of CIP Deviations for International Capital Flows with Jean-David Sigaux and Quentin Vandeweyer

R&R Journal of Finance

We study the landscape of currency risk hedging in the euro-area and document the impact of CIP deviations in FX derivatives markets on international bond markets.
Selected 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)

Life Insurance Convexity with Nicolaus Grochola and Helmut Gründl

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.
Selected presentations: AEA-ARIA session (2021), SGF (2021), EGRIE (2021), ARIA (2021), German Insurance Science Association (2021), Paris December Finance Meeting (2020)
Coverage: SUERF, EIOPA Financial Stability Report (2020), ESRB "Enhancing the macroprudential dimension of Solvency II" (2020), Deutsche Bundesbank Financial Stability Review (2018)

The Insurance Channel of Monetary Policy with Dominik Damast and Jakob Ahm Sørensen

 [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.

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.

Financial Literacy and Precautionary Insurance with Annette Hofmann and Petra Steinorth

[permanent working paper]

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)