Credit Supply Shocks: Financing Real Growth or Takeovers (with Daniel Streitz and Michael Wedow), Review of Corporate Finance Studies 13(2), 428-458 [Link to final version] [Link to SSRN]
Documents that firms with better access to credit grow more, but entirely driven by inorganic growth. Provides an important channel (M&A) that drives a wedge between micro and macro estimates.
FinTech Lending (with Andreas Fuster and Manju Puri), Annual Review of Financial Economics 14, 187-202 [Link to final version] [Link to CEPR Working Paper version]
Documents the rise of FinTech lending over the last decade and reviews the existing literature on the topic.
Spillover Effects in Empirical Corporate Finance (with Markus Reisinger and Daniel Streitz), Journal of Financial Economics 142(3), 1109-1127, 2021 [Link to final version] [Link to SSRN]
Shows the pitfalls of ignoring spillovers in empirical research and develops a guidance for estimating treatment effects in the presence of (firm-level) spillovers
Teaching slides are available here [Link]
Trends in Corporate Borrowing (with Anthony Saunders and Sascha Steffen), Annual Review of Financial Economics 13, 1-20, 2021 [Link to final version] [Link to SSRN]
Explores the trends in corporate borrowing for the U.S. and Europe over the past 30 years
“Brexit” and the Contraction of Syndicated Lending (with Anthony Saunders, Larissa Schäfer, and Sascha Steffen)
Journal of Financial Economics 141(1), 66-82, 2020 [Link to final version] [Link to SSRN] [Link to Online Appendix]Explores the consequences of Brexit on the London financial centre
On the Rise of FinTechs: Credit Scoring using Digital Footprints (with Valentin Burg, Ana Gombović, and Manju Puri)
Review of Financial Studies 33(7), 2845-2897, 2020.
Editor's Choice [Link to final version] [Link to SSRN] [Link to Online Appendix]Analyzes the information content of consumers' digital footprint for credit scoring and discusses implications for society
Loan Officer Incentives, Internal Rating Models, and Default Rates (with Manju Puri and Jörg Rocholl)
Review of Finance 24(3), 529-578, 2020. [Link to final version] [Link to SSRN]Analyzes drivers of fraudulent behavior by loan officers
Got Rejected? Real Effects of Not Getting a Loan
Review of Financial Studies 31(12), 4912-4957, 2018. [Link to final version] [Link to SSRN]Provides evidence for the role of precautionary savings in the transmission of credit supply shocks
What Explains the Difference in Leverage between Banks and Non-Banks? (with Jasmin Gider), Journal of Financial and Quantitative Analysis 52(6), 2677-2702, 2017. [Link to final version] [Link to SSRN] [Data and Code]
Shows that one single factor - asset risk - can largely explain the difference between leverage of banks and leverage of non-financial firms
Mind the Gap…The Syndicated Loan Pricing Puzzle Revisited (with Anthony Saunders, Sascha Steffen, and Daniel Streitz)
Review of Financial Studies 30(3), 948-987, 2017. [Link to final version] [Link to SSRN]Describes and explains pricing differences in loan markets between the United States and Europe
An Analysis of the Consistency of Banks’ Internal Ratings (with Philipp Koziol)
Journal of Banking and Finance, 78, 27-41, 2017. [Link to final version] [Link to SSRN]Documents that the variability of internal probability of default estimates for the same borrower across banks is large, but largely idiosyncratic
Berg, T., D. Streitz (2016): Determinants of the Size of the Sovereign Credit Default Swap Market (with Daniel Streitz)
Journal of Fixed Income 25(3), 58-73, 2016. [Link to final version] [Link to SSRN]Shows that agencies’ ratings are a major determinant of the size of sovereign CDS markets
The total costs of corporate borrowing in the loan market: Don’t Ignore the Fees (with Anthony Saunders and Sascha Steffen)
Journal of Finance 71(3), 1357-1392, 2016. [Link to final version] [Link to SSRN] [Link to online appendix] [Data and Code]Shows that 80% ofsyndicated loans contain fees, explains the rationale for fees, and provides a novel measure for the total cost of borrowing
Playing the Devil's Advocate: The Causal Effect of Risk Management on Loan Quality
Review of Financial Studies 28(12), 3367-3406, 2015. [Link to final version] [Link to SSRN]Analyzes the dual role of risk managers and loan officers in a bank's organizational structure and shows that human risk managers add significant value over and above quantitative risk models
Does Contingent Capital Induce Excessive Risk-Taking and Prevent an Efficient Recapitalization of Banks (with Christoph Kaserer)
Journal of Financial Intermediation 24(3), 356-385, 2015. [Link to final version] [Link to SSRN]Documents that Contingent Capital can magnify risk-shifting incentives and decrease incentives to raise new equity in a crisis
The Term Structure of Risk Premia: Evidence from CDS Spreads
ECB Working Paper No. 1165, 2013. [Link to final version] [Link to SSRN]
Second year PhD paperDocuments that the term structure of risk premia is flat during normal times, and downward sloping during crises
Extracting the Equity Premium from CDS Spreads (with Christoph Kaserer)
Journal of Derivatives 21(1), 8-26, 2013. [Link to final version] [Link to SSRN]
Second year PhD paperProposes and applies a method to convert credit risk premia into equivalent equity risk premia using structural models of default
From actual to risk-neutral default probabilities: Merton and beyond
Journal of Credit Risk 6(1), 55-86, 2010 [Link to final version] [Link to SSRN]
First year PhD paperShows that risk premia constitute a significant fraction of credit spreads that is increasing in credit quality