Welcome to my academic webpage!
I recently completed my Ph.D. in finance from the UCLA Anderson School of Management and in September 2022 joined the faculty of the BI Norwegian Business School.
[CV] | Google Scholar
Empirical asset pricing, international finance, macro-finance, and financial intermediation.
Department of Finance
BI Norwegian Business School
Nydalsveien 37 | Oslo 0484 | Norway
6. "Covered Interest Rate Parity with Collateral"
Presentations: EEA in 2022, AFA in 2022, Auckland Center’s Derivative Markets Conference in 2021, International Risk Management Conference in 2021, Virtual Derivatives Workshop in 2020, and Anderson School of Management Seminar in 2020
Abstract: I show that a no-arbitrage consistent but costly collateral rental yield explains about two-thirds of the apparent standard Covered Interest Rate (CIP) violations. I proxy this yield with the difference between the risk-free and overnight index swap rates between the cross bilateral currencies and apply it to both short and long-term CIP violations. Further, the results suggest an important direct collateral channel through which costly collateralization explains CIP violations, independent of previously documented global risks and intermediary frictions.
[Updated draft] [AFA 2022 Poster] [Internet Appendix] [Virtual Derivatives Workshop 2020 Presentation]
5. "Currency Crashes and Sovereign Defaults: Two Markets and One Tail Risk"
Presentations: AFA 2023 (forthcoming), EEA in 2022, and Bank of England: 8th International Conference on Sovereign Bond Markets in 2022
Abstract: Are currency crashes related to sovereign defaults? These are rare states of the world, and measuring their relationship is difficult. I take a novel approach. I learn about the risk-neutral distribution of currency crashes from prices of far out-of-the-money (FOM) foreign exchange (FX) options and about sovereign defaults from prices of credit default swaps (CDS). I find these two markets inextricably linked, as if their instruments are insuring against the same tail risk. But I also find puzzling evidence of segmentation between the markets that disappears only during times of sovereign crises. Using the results of the link, I develop a novel quantitative distress measure known as the “distance to crash,” which I show is related to three market anomalies: the discovered market segmentation, the credit spread on local currency versus US dollar denominated sovereign risk known as the “quanto”, and the carry trade.
[Updated draft] [Internet Appendix]
4. "The Shadow Cost of Liquidity Regulation: Evidence from Banks’ Corporate Lending" - with Vaska Atta-Darkua, Silvina Rubio, and Milos Starovic
Abstract: This paper analyses the impact of the quantitative liquidity requirement of Basel III on bank behaviour. In particular, we focus on corporate lending. Using a wide dataset of European, US, and Canadian banks between 2013-2018 and employing a fuzzy RDD, we find that banks below the median LCR charge higher interest rates for corporate lending and make smaller loans. The impact on lending is particularly pronounced for banks at the bottom and top tails of the liquidity distribution. This effect is caused by banks passing through their increased liquidity costs to private sector clients, implying that when the liquidity constraint binds banks have pricing power. The analysis in this study indicates that the Basel III liquidity regulation is a binding constraint for financial institutions and is likely to have a major impact on the private sector access to funding and cost of capital.
3. "Constraints of Collateralization and Regulation and the Law of One Price"
Awards: Macro Financial Modeling Project Fellowship Award from the Becker Friedman Institute at the University of Chicago in 2019
Summary: I research collateralisation and bank regulatory changes in the post-2008 crisis period and their ability to explain large and persistent deviations from the law of one price observed in a number of arbitrage opportunities measured by cash-derivative bases across asset classes. The study attributes the inability to narrow these arbitrage opportunites to costs of participation which arise due to intermediaries facing a collateral, leverage and liquidity constraints, resulting in limits-to-arbitrage. These constraints inhibit regulated dealers/investors’ ability to arbitrage bases across various asset classes and over time. Moreover, I go a step further and measure the magnitude of the effects of each binding constraint on the deviations from law of one price across time and in the cross section across several asset classes. This allows me to classify asset classes by the magnitude of impact received from the binding constraints. The asset class bases I look at are: Bonds-CDS, Treasuries-Interest Rate Swaps, Covered interest rate parity, Inflation rate swaps-TIPS, and Stock Index - Stock index swaps bases.
2. Georgievska A., Georgievska, Lj, Stojanovic, A. and Todorovic, N. (2011), “Country Debt Default Probabilities in Emerging Markets: Were Credit Rating Agencies Wrong?” in Robert W.Kolb (ed.), Sovereign Debt: From Safety to Default (by invitation), Wiley, ISBN 978-0-470-92239-2
1. Georgievska A, Georgievska, Lj., Stojanovic, A. and N. Todorovic (2008), “Sovereign rescheduling probabilities in emerging markets: a comparison with credit rating agencies’ ratings”, Journal of Applied Statistics, 35(9), p.1031-1051