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) [Latest Version]

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.

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.

Ambiguity, Liquidity and Monetary Policy (with Poramapa Poonpakdee) [Draft Coming Soon]

We propose a novel 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

Bargaining over Merger Gains: The Acquirer, the Target and the Central Bank (with Johannes Fischer)

Portfolio Adjustments after Short Sale Announcements (with Egle Karmaziene)

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

Informed Intermediation - A Mechanism Design Approach  (with Anna Abate Bessomo)