Publications

Mathematics and Financial Economics, Volume 8, pages 249–264.

International Economic Review, 55(1), 57-81.

This paper shows that product market competition has two opposing effects on asset returns. The first relates to the procyclical nature of the value...

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs. We compute the equilibrium in...

With the OMT program the ECB has de facto taken over the role as a lender of last resort (LoLR) for euro area governments. While this has been...

We use the length of employment contracts to estimate CEO turnover probability and its effects on risk-taking. Protection against dismissal should...

This paper presents a policy proposal for building a new framework for gathering, measuring and disclosing financial risk information in the global...

This paper examines the concept of systemic risk and provides an intuitive account of the economic thought on systems and the development of the...

The experience from the global financial crisis has raised serious concerns about the accuracy of standard risk measures as tools for the...

We study rights offerings using a sample of 8,238 rights offers announced during 1995-2008 in 69 countries. Although shareholders prefer having the...

We develop an equilibrium model of debt maturity choice of firms, in the presence of fixed issuance costs in primary debt markets, and an over-the...

Review of Financial Studies, 26 (12). pp. 3104-3141. 

The euro crisis remains unresolved even as financial markets may seem calm for now. The current euro regime is inherently flawed. Recent reforms have...

Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical...

We study a general equilibrium model in which firms choose their capital structure optimally, trading off the tax advantages of debt against the risk...

We study an economy with segmented financial markets and strategic arbitrageurs who link these markets. We show that the equilibrium of the arbitraged...