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Negative interest rate regimes typically involve reserve tiering to exempt a portion of bank reserves from negative rates. We study the effects on bank behavior of a large and unanticipated change in reserve tiering by the Swiss National Bank that generate ...
This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large r ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
The financial crisis of 2007-2009 drew attention to the essential role of banks for the macroeconomy and to the importance of having a resilient financial sector. A vulnerability in the financial sector spills over to the real economy and can drive it into ...
How does the presence of financial constraints influence which firms become acquirers, and average ownership structures and divestiture rates of acquisitions? To address these questions, we develop a tractable model of M&As in financially underdeveloped ma ...
This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve ...
The establishment of a single European day-ahead market has accomplished the integration of the regional day-ahead markets. However, the reserves provision and activation remain an exclusive responsibility of regional operators. This limited spatial coordi ...
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
Flexibility, particularly in terms of reserve services, is an essential requirement of power systems with high penetration of renewable electrical generation, which can reduce undesirable curtailment and enable higher integration of clean electrical power ...
Uncertainty levels in forecasting of renewable generation and demand are known to affect the amount of reserve required to operate the power grid with a given level of reliability. In this paper, we quantify the effects on the system reserve and reliabilit ...
