Research Interests

Banking, Risk Management, Financial Regulation, Financial Markets, Corporate Finance

Current Research

• Banks' Next Top Model
  

  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.

  
  Presented at: Nova SBE Finance PhD Pitch Perfect (2021), PEJ (2021), IYFSC (2021), INFER (2021), Rare Voices in Economics (2021), ECB Forum on Central Banking (poster, 2021), DGF Doctoral Workshop (2021), Day-Ahead Workshop on Financial Regulation (2021), AFA (poster, 2022), EEA (2022), IFABS (2022), Swiss Winter Conference on Financial Intermediation (poster, 2023), IBEFA Summer Meeting (2023)
  
  Consultaccount Award for the best paper presented by a PhD student at the 14th Annual Meeting of the Portuguese Economic Journal
  
  Award for the Best Paper in Banking at the 7th International Young Finance Scholars' Conference
  
  Finalist in the 2021 ECB Young Economists' Competition
  
  Finalist in the 2022 QCGBF Young Economist Prize Competition
  
  Video Pitch | NHH Bulletin | Forskning.no (in Norwegian)
  
  

• Strategic Risk-Modelling by Banks: Evidence from Inside the Black Box (with Mike Mariathasan and Ouarda Merrouche)
  

  This paper investigates the strategic use of banks’ internal models for market risk. We study hand-collected data on modelling and disclosure choices and examine how they relate to banks’ reported levels of Value-at-Risk (VaR) and the number of VaR violations. We show that more elaborate internal modelling can correspond to higher VaR and more VaR violations being therefore unambiguously more punitive for banks in terms of capital requirements. At the same time, such modelling can be also more opaque and fail to assess risk more precisely than theoretically more inferior modelling. We conclude that capital requirements for market risk are compromised by strategic modelling, and show how the degree of distortion depends on specific modelling choices.

  
  Presented at: EEA (2019), MSU Conference for Young Researchers in Risk Management and Insurance (2019), UGA PhD Student Symposium (2020), IFABS (2023)
  
  

• Rebalancing of Currency Hedging and the Impact on Exchange Rates (with Olav Syrstad)

  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)

• Teaching

  • 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)