Research

MAIN PUBLICATIONS

An Analysis of the Consistency of Banks’ Internal Ratings“, with Philip Koziol, 2017, Journal of Banking and Finance (forthcoming)

Mind the Gap…The Syndicated Loan Pricing Puzzle Revisited“, with Anthony Saunders, Sascha Steffen, and Daniel Streitz, 2016, Review of Financial Studies (forthcoming)

What Explains the Difference in Leverage between Banks and Non-Banks?“, with Jasmin Gider, 2016, Journal of Financial and Quantitative Analysis (forthcoming)

  • Best Paper Award, Banking workshop Muenster 2015

The Total Costs of Corporate Borrowing in the Loan Market: Don’t Ignore the Fees“, with Sascha Steffen and Anthony Saunders, 2016, Journal of Finance, 71(3), 1357-1392

Playing the Devil’s Advocate: The Causal Effect of Risk Management on Loan Quality“, 2015, Review of Financial Studies, 28(12), 3367-3406

  • Best Paper Award, German Finance Association Meetings (DGF) 2014

Does Contingent Capital Induce Excessive Risk-Taking?“, 2015, with Christoph Kaserer, Journal of Financial Intermediation, 24(3), 356-385

  • Best Paper Award, Journal of Financial Intermediation, 2015
  • Best Paper Award, German Finance Association Meetings (DGF) 2011

Extracting the Equity Premium from CDS Spreads“, 2013, with Christoph Kaserer,  Journal of Derivatives, 21(1), 8-26

  • Best Paper Award, SUERF Colloquium

 

OTHER PUBLICATIONS

Determinants of the Size of the Sovereign Credit Default Swap Market“, with Daniel Streitz, 2016, Journal of Fixed Income, 25(3), 58-73

The Term Structure of Risk Premia: Evidence from CDS Spreads“, 2013, ECB Working Paper No. 1165.

A Certification Model for Regulatory Arbitrage: Will Regulatory Arbitrage persist under Basel III?“, 2011, with Bernhard Gehra and Michael Kunisch, Journal of Fixed Income, Fall 2011, 39-56

From actual to risk-neutral default probabilities: Merton and beyond“, 2010, Journal of Credit Risk, 6(1), 55-86

 

REVISE & RESUBMIT

Got rejected? Real effects of not getting a loan (available upon request), R&R, Review of Financial Studies

    • Prepared under the ECB Lamfalussy Program
    • Conferences: AFA 2016, German Finance Association 2015, Banking workshop Muenster 2015, Swiss Winter Finance Conference Lenzerheide 2016, FIRS 2016

 

WORKING PAPERS (COMPLETED PAPERS ONLY)

Unique Equilibrium in Market-Triggered Contingent Capital, with Eva Schliephake

Loan officer incentives and the limits of hard information“, with Manju Puri and Jörg Rocholl, 2015, NBER Working Paper No. 19051.

      • Conferences: AFA 2013, NBER Corporate Finance 2013, SFS Cavalcade 2012, ISB Conference 2012,  EFA 2012, Chicago Bank Structure 2013, Carefin-Bocconi 2013, FIRS 2013, DGF 2013

“Brexit” and the Contraction of Syndicated Lending, with A. Saunders, L. Schäfer, and S. Steffen (available upon request)

Real Effects of Securitization, with Daniel Streitz and Michael Wedow (available upon request)

The Term Structure of Risk Premia: Evidence from CDS Spreads?“, 2013, ECB Working Paper Series

      • Conferences: EFA 2010 (Best Paper Award), CQA 2010, DGF 2010, SAFE 2010, FIRS 2011