Project Financial Stability

General  Results


My contribution to the field of macroprudential research encompasses currently two major work streams.

In "Monitoring systemic risk in the hedge fund industry”  and "Systemic risk indicators for the money market fund industry”  I develop indicators for the monitoring of systemic risks related to the interconnectedness of individual funds within the relevant industries. Building on the concept of Granger causality, I employ entity-specific VAR and VEC models to isolate relevant interconnectedness effects between an individual funds and the fund industry. Aggregating this effects across the sector yields sector-wide measures for systemic risk related to interconnectedness.

In "The Systemic Dimension of Hedge Fund Illiquidity and Prime Brokerage" we discuss potential changes in the intermediation chain in between hedge funds, prime brokers and repo markets and associated consequences for financial stability.

Multiple other contributions of mine are included in ESMA’s “Trends, Risks and Vulnerabilities” reports, various “Risks and Vulnerabilities in the EU financial system” reports of the Joint Committee of the three European Supervisory Authorities and reports of the ESRB such as the report on “Macro-Prudential Issues and Structural Change in a Low Interest Rate Environment“.

Any comments on this line of work or the contributions presented above are highly appreciated. Please feel free to contact me with all your remarks or questions.


Monetary Economics, Macroeconomics, Computational Economics and Financial Stability