The Lehman Brothers' bankruptcy triggered the failure of the collateralized debt markets, which was a major contributor of the financial crisis in 2008. Such collateralized debt markets have both collateral price channel and counterparty (borrower and lender) channel of contagion. I propose a...

We use unique data on careers of investment managers to study the relation between labor markets and productivity differences across sectors in finance. We document significant labor mobility between mutual funds and hedge funds during the 1990s and 2000s. Descriptive evidence suggests potential...

In this paper we aim to provide a holistic understanding of the Initial Margin (IM) models used by Central Counterparties (CCPs) in Europe. In addition to discussing their relevance in terms of CCP risk management and their importance for the functioning of financial markets, we provide an...

Exotic, bespoke and long-dated options require careful model selection, calibration and pricing. Local Volatility models struggle to fit the smile and skew observed in financial markets and smile tends to flatten for long-dated maturities. Stochastic Volatility (SV) models such as the Heston...

Evaluating the performance of Alternative Risk Premia products as standalone investments is not sufficient to conclude whether these products add value to institutional investors, whose portfolios are largely composed of well-diversified equity and bond allocations, and usually smaller ones to...

Alternative Risk Premia investment products have attracted substantial interest of institutional investors in the recent decade, as they are supposed to provide risk premia other than traditional equity and bond premia in which investors already have exposure to. This article reviews the...

This study aims at analyzing the ability of managers of Alternative Risk Premia (ARP) portfolios to outperform benchmarks and to deliver alphas. Using a sample of more than 200 ARP indices, we first distinguish performance between allocation strategy and picking ability. Our first results show...

Is shareholder interest in corporate social responsibility driven by pecuniary motives (abnormal rates of return) or non-pecuniary ones (willingness to sacrifice returns to address various firm externalities)? To answer this question, we categorize the literature into seven tests: (1) costs of...

Using a novel equity lending dataset, this paper is the first to show that expected returns strongly and negatively predict future equity lending fees. In comparing two expected return measures, I find that a rational expected return has stronger predictive power of future short selling activity...

Just as other jurisdictions across the globe, German private and regulatory law is still struggling to get to terms with the challenges created by virtual currencies such as BitCoin or Ether. While some recent adjustments to the legal framework for financial regulation, ahead of incoming EU...