Research Interests

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

Current Research

• Banks' Next Top Model
  

  Bank risk management failures keep challenging regulation relying on internal models for accurate risk assessment. This paper employs unique hand-collected data on banks' internal models to examine how banks use these models to manage risk and why they change models. Exploiting regulatory penalty thresholds, I show that banks strategically relax models, underreporting risk without reducing actual tail risk. I find that capital-saving benefits from adopting less stringent models exceed penalty costs, questioning the traditional trade-off between capital requirements and penalties. Between 2014 and 2019, the largest global banks saved over 12 billion USD in capital through internal model adjustments.Bank risk management failures keep challenging regulation relying on internal models for accurate risk assessment. This paper employs unique hand-collected data on banks' internal models to examine how banks use these models to manage risk and why they change models. Exploiting regulatory penalty thresholds, I show that banks strategically relax models, underreporting risk without reducing actual tail risk. I find that capital-saving benefits from adopting less stringent models exceed penalty costs, questioning the traditional trade-off between capital requirements and penalties. Between 2014 and 2019, the largest global banks saved over 12 billion USD in capital through internal model adjustments.

  
  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)
  

  Revise & Resubmit in The Review of Corporate Finance Studies
  
  

  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)
  

  We study how currency-hedged investments by non-bank financial institutions (NBFIs) affect exchange rates. When foreign investment values change, NBFIs rebalance their currency hedges, creating systematic FX flows. Using transaction-level data from Norwegian NBFIs, we show that negative portfolio returns trigger domestic currency sales. High-frequency event studies reveal immediate price impacts of 0.2% per 1 billion NOK forward flow. During high volatility, impacts triple. Our findings identify mechanical rebalancing as a key exchange rate driver, particularly relevant for economies with large currency-hedged foreign investments.

  
  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)
  

• Teaching

  • NHH Norwegian School of Economics
    

    Investments
    Instructor (Spring 2023, Spring 2024, Spring 2025)
    
    Master's Thesis
    Supervisor (Fall 2023 - Fall 2025)
    

    
    
    

  • 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)