Phone: +47 55 95 92 94
E-mail:
elizaveta.sizova@nhh.no
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Curriculum Vitae
Banking, Risk Management, Financial Regulation, Financial Markets, Corporate Finance
The global financial crisis has led to the increasing importance of regulation that relies on banks’ internal risk models. Model-based regulation aims at incentivizing banks to accurately measure risk via constantly evolving models. This paper offers a theoretical model that explores how banks’ risk tolerance affects the optimal trade-offs between capital requirements and penalties for underreporting risk. The model suggests that an increase in banks’ risk tolerance leads to higher penalties for underreporting risk. I then use hand-collected data on banks’ model revisions and outcomes. I document that banks systematically underreport risk and despite the pressure from regulators do not improve the internal models. The paper suggests that model-based regulation is flawed and calls for more supervisory training to alleviate the inefficiencies.
Strategic Risk-Modelling by Banks: Evidence from Inside the Black Box (with
Mike Mariathasan
and
Ouarda Merrouche)
Regulators condition bank capital on risk but struggle to measure risk accurately. Capital requirements thus rely heavily on inputs from banks’ internal risk models. Using novel hand-collected data we show that banks’ modelling choices alter the level and accuracy of reported Value-at-Risk (VaR). There are systematic differences in VaR and VaR violations for the chosen simulation method, holding period and historical data size. Hence, banks can get systematically lower capital requirements through their modelling choices. Our findings support the hypothesis of strategic modelling and corroborate recent evidence on banks’ adoption of similar models making the financial system more vulnerable.
Rebalancing of Currency Hedging and the Impact on Exchange Rates (with Olav Syrstad and Ingebjørg Hansen Sævareid)
Norges Bank Governor's Speech
Currency Mismatch on Bank Balance Sheets and Exchange Rates (with
Aleksei Oskolkov and
Marcos Sorá)
Liquid Assets: The Effects of Employee Alcohol Consumption on Firm Performance (with
Cédric Huylebroek and
Lars Van Cutsem)
Does Credit Market Structure Matter for Monetary Policy Transmission? (with Peter Han)
NHH Norwegian School of Economics
Investments
Instructor (Spring 2023, Spring 2024)
Master's Thesis
Supervisor (Fall 2023, Spring 2024)
KU Leuven
Master's Thesis
Supervisor of 30 projects (Fall 2017 - Spring 2022)
University of Illinois at Urbana-Champaign
Risk Management Practices and Regulation
Invited Instructor (Fall 2019)
Predictive Analytics
Invited Instructor (Spring 2020)
Illinois Risk Lab
Graduate Supervisor (Spring 2020, Fall 2020)
IRisk Lab Award for the project in Fall 2020 as one of three exceptional IRisk Lab projects in Fall 2019, Spring 2020, Summer 2020, and Fall 2020
Honorable Mention Award for the project in Spring 2020 at the 2020 UIUC Undergraduate Research Symposium
Higher School of Economics
Academic English
Teaching Assistant (Fall 2014)