Working Papers

Mandatory Central Clearing and Financial Risk Exposure [Latest Version]
I show through theoretical analysis and structural estimation that mandatory counterparty default insurance (central clearing) of over-the-counter (OTC) derivatives may substantial increase aggregate financial risk exposure.

Optimal Severity of Stress Test Scenarios   (with Johannes J. Fischer) [RSC WP 2024/52]
We show that regularly conducted bank stress tests lead to lower albeit less volatile lending via a de-facto increase in capital requirements. However, the asset shrinkage channel can be reduced when complementing stress test with dividend regulations , while relaxing the CCyB falls short.
Awarded the Young Researcher Award - Best Paper at the 2024 ECB Banking Supervision Research Conference

Exclusive Portfolio Dealing and Market Inefficiency  (with Iman van Lelyveld and Ellen van der Woerd) [Latest Version]
We rationalize exclusive portfolio dealing between sellers and broker-dealers in a novel three-period partial equilibrium framework and show that exclusivity make reduce trade frequencies by up ti one-third.  We motivate and conclude with an application to the security lending market.

The Role of Ambiguity in the Monetary Policy Transmissions: Evidence from the European Repo Market  (with Poramapa Poonpakdee) [Latest Version]

We propose approach to measure ambiguity (uncertainty over outcome likelihoods) from transaction level data, and study both how monetary policy drives ambiguity and how ambiguity impacts the transmission of monetary policy.

Work in Progress

Central Bank Purchases in Intermediated Markets  (with Anna Abate Bessomo)
Awarded the Lamfalussy Research Fellowship by the European Central Bank

Portfolio Adjustments after Short Sale Announcements (with Egle Karmaziene)

Stress-Testing in Large (Repo) Network (with Alessandro Pollastri)