Research

Working papers

• "Fair Value Losses and Systemic Risk during the Financial Crisis" (Job Market Paper) with Andréas Heinen, which was previously circulated with the title “Is Fair Value Accounting Responsible for Systemic Risk during the Financial Crisis?”, submitted to the journal.

• “Measuring Systemic Risk with Non-Exchangeable Dependence” with Andréas Heinen, to be submitted

Presentation: 37th International Conference of the AFFI in VIRTUAL, May 2021; 4th PANORisk Conference, December 2019, Angers, France; EEA-ESEM 2019, August 2019, Manchester, United Kingdom; QFFE 2019, June 2019, Marseille, France

• "Evaluating Systemic Risk with non-Exchangeable Liebscher Copulas"