We use granular data sets–merged across the UK government bond, interest rate swap,
options and futures markets–to estimate exposures to interest rate risk at the sector level and …

This paper studies a form of liquidity risk that we call 'Liquidity After Solvency Hedging'or
“LASH” risk. Financial institutions take LASH risk when they hedge against solvency risk …

Abstract In July 2020, the Chilean Congress made an unexpected modification to the
Constitution, allowing workers to take their mandatory pension savings for the first time since …

We study the extent of interest rate risk sharing across the financial system using granular
positions and transactions data in interest rate swaps. We show that pension and insurance …

We study a model of financial markets in which market concentration induces inelastic
trading and imperfect pass-through of demand shocks. Changes in the quantity of assets …

We use granular datasets with observed trader identifiers–merged across the UK
government bond, interest rate swap, options and futures markets–to estimate exposures to …

We analyse the role of preferred habitat (PH) demand in the transmission of quantitative
tightening (QT) and quantitative easing (QE) programmes. For this, we combine granular …

This thesis is a collection of three essays that explore frictions and trade-offs in financial
intermediation within private equity (PE) markets. It covers topics such as funding shocks …

This paper introduces a novel aggregate reversal strategy that exploits monthly calendar
effects. Specifically, I show that the end-of-the-month return of the S&P500 negatively …

We examine how portfolio regulations affect risk sharing between financial institutions with
market power. Unconstrained access to complete markets permits flexible exploitation of …