Publications

Entry and Exit Decisions under Public and Private Information: An Experiment (2022) -  with Chernulich A., J. Horowitz, O. Rud, and J.P. Rabanal, Experimental Economics, forthcoming. 

An Experiment on the Efficiency of Bilateral Exchange under Incomplete Markets (2019) - with Rabanal J.P and O.Rud, Games and Economic Behavior, 114, 253-67.


​Working Papers

• Determinants of Credit Risk in Central, Eastern and Southeastern Europe, under review.

​Abstract: Using dynamic panel data methods this paper investigates the determinants of nonperforming loans (NPLs) in the transition economies of Europe in the period of 2000–2012. We further compare the drivers of NPLs for foreign and domestic banks using the dataset from Claessens and Van Horen (2015), which tracks the ownership of individual banks over time. The empirical results show that both macroeconomic and bank-specific factors have an effect on the dynamics of NPLs. There are statistically significant differences between foreign and domestic banks confirming the relevance of the ownership structure in credit risk management.

• Identifying Systemically Important Financial Institutions: Toward a Simpler Approach, with S. Benoit, and J. Dudek, manuscript.

Abstract: This paper examines the relevance of the linear modeling of the returns dependence in the estimation of the three systemic risk measures: Delta CoVaR, MES and SRISK. By assuming the linear dependence structure between firm and market equity returns, we show that simple linear methods are well suited in the estimation of the market-based systemic risk measures given their equal performance in the identification of systemically important financial institutions (SIFIs) as compared to the heavy-tailed techniques.The difference in the rankings of financial rms according to the systemic risk measures obtained using linear and nonlinear approaches is more pronounced only when we focus on extremely low-risk thresholds.

• Measuring Cross Linkages between U.S. and European Banking Institutions, manuscript

Abstract: The paper examines the degree of risk interconnectedness between internationally active U.S. and European banks. I use the conditional value-at-risk (CoVaR) approach to estimate the pair-wise risk exposure measure defined as an increase bank’s risk induced by its cross-Atlantic peer bank in a distress condition. I calculate the indicators of an individual bank’s cross border risk exposure and contribution to identify most internationally risky banks. I further investigate the determinants of banks’ interlinkages via panel data regressions. The results show that the pairwise CoVaR: (1) brings value added over VaR in assessing risk interdependence between U.S. and European banks, and (2) is well suited to identify internationally important banks. I find that short-term wholesale funding is a key determinant in explaining institutions’ cross-border risk exposure. There is weaker evidence that size is a significant driver of risk interdependence for a group of large international banks.

Work in Progress
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• Examining the Unintended Consequences of Basel III: Does it reduce Risk?, with Sharmila King

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• Capital controls and systemic risk in Greece, with Anick Yaha