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Simposio de la Asociación Española de Economía (SAEe), December 14-16, Barcelona, Spain
Allied Social Science Associations (ASSA), January 5-7, Philadelphia, US
Systemic Risk and Financial Networks.
"Fire Sale Spillovers in a Network Perspective" (Job Market Paper)I analyze correlation patterns of portfolio returns in an asset commonality network of financial institutions. For identifiication, I make use of a proprietary database containing quarterly securities holdings of German financial institutions at the bank-security-time level between 2006 and 2014. I find that security returns in exclusively held parts of bank portfolios are correlated in a lead-lag relationship given that portfolios contain overlapping elements. A path analysis suggests that a likely underlying channel are sales of commonly held securities following negative returns. This contagion channel to security returns is more pronounced for banks which are large, highly leveraged and central to the asset commonality network. Investigating the period surrounding fire sales in summer 2017, I find a potential occurrence of shift-contagion with return correlations increasing comparably more for institutions with higher levels of portfolio overlap.
Research in Progress
“Bank Credit Risk Networks: Evidence from the Eurozone", with Christian Brownlees and Eulàlia Nualart.
Credit Risk Interconnectedness: What Does The Market Really Know? (with Puriya Abbassi, Christian Brownlees and Natalia Podlich), Journal of Financial Stability, Volume 12, April 2017, Pages 1 - 12