Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk

[Paper / Slides] (New version: 05/2021)

Spillover Persistence is a novel characteristic of systemic risk, which captures and disentangles fragility and amplification effects in the financial system.

Presentations at the Eastern Finance Association (2021), IWH-FIN-FIRE Workshop (2020), 7th Workshop in Financial Economics at University of Bonn (2018), AFA (2017, Poster), German Finance Association (2017), ARIA (2016), Huebner Doctoral Colloquium (2016), EGRIE (2016), and seminars at University of Bonn (2020), Deutsche Bundesbank (2017), MIT Sloan (2017), Isenberg School of Management at UMASS Amherst (2017), University of Guelph (2017), St. John's University New York (2017), University of Jena (2016), and Goethe-University Frankfurt (2016).

Life insurance convexity

with Nicolaus Grochola and Helmut GründlFormer title: "Rising Interest Rates and Liquidity Risk in the Life Insurance Sector"

[Early draft / Slides]

When interest rates rise, life insurance customers withdraw their savings, which can trigger significant fire sales.

Presentations at ARIA (2021), SGF (2021), DVfVW (2021), ARIA-AEA session (2021), Paris December Finance Meeting (2020), 8th Bundesbank-CFS-ECB Workshop on Macro and Finance (2018), EIOPA (2018), International Actuarial Association - Life Section (IAALS) Colloquium (2017), and seminars at ECB (2020), University of Bonn (2019), St. John's University New York (2018), Isenberg School of Management, UMASS Amherst (2018), Goethe-University Frankfurt (2018), and Deutsche Bundesbank (2017).
Policy: - featured in - EIOPA's financial stability report 2020- ESRB's suggestions on how to improve regulation of insurers (02/2020) - policy talk on life insurers' liquidity risk @Goethe, 01/2020 [Slides]

Loss Sharing in Central Clearinghouses: Winners and Losers

with Loriana Pelizzon and Mila Getmansky Sherman Former title: "Pitfalls of Central Clearing in the Presence of Systematic Risk"

[Paper / Slides] (new version: 04/2021)

Central clearing of derivatives substantially favors dealers with flat portfolios over end-users with directional portfolios. Sharing default losses proportionally to gross instead of net risk can align benefits.

Presentations at CEBRA (2020), AFA (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), and seminars at University of Oxford (2020), Villanova University (2019), Isenberg School of Management, UMASS Amherst (2018), Goethe-University Frankfurt (2018), and ESMA (2017).


Constrained efficient equilibria in selection markets with continuous types

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

[Publisher's version / Working paper / Matlab replication code]

In adverse selection models, it is complicated to work with constrained efficient equilibria. We extend the well-known Miyazaki-Wilson-Spence equilibrium to continuous type spaces and formulate a simple algorithm to compute it, facilitating future empirical work.

Financial Literacy and Precautionary Insurance

with Annette Hofmann and Petra Steinorth (ICIR Working Paper No. 34)

[Paper / Slides]

When consumers are very prudent, they buy too much insurance.

Presentations at the Risk Theory Society (2019), EGRIE (2018) and seminars at Goethe-University Frankfurt (2018), and St. John's University New York (2018).