Two FRIC PhD students defend their theses this week

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Two PhD students at the FRIC Center for Financial Frictions, Department of Finance will defend their PhD theses this week: Mikael Reimer Jensen will present Interbank Markets and Frictions and Mads Vestergaard Jensen will present Financial Frictions - Implications for Early Option Exercise and Realized Volatility

Two FRIC PhD students defend their theses this week

Two FRIC PhD Defences: Mikael Reimer Jensen (left) and Mads Vestergaard Jensen (right)
Mads Vestergaard Jensen and Mikael Reimer Jensen
11/14/2016

Two PhD students from the FRIC Center for Financial Frictions at the Department of Finance will defend their PhD theses on Thursday and Friday this week.

On Thursday November 17, 2016, Mikael Reimer Jensen will defend his thesis Interbank Markets and Frictions. The thesis consists of three chapters, where the first chapter examines how banks’ liquidity position shapes outcomes in the money market. The second chapter investigates the decomposition of interbank rates into credit and liquidity risk. Finally, the third chapter explores how the classical no-arbitrage pricing framework can be extended by assuming that the underlying asset can be used in a repo transaction.
Michael Reimer Jensen is currently working as a Risk Analyst at ATP.

On Friday November 18, 2016, Mads Vestergaard Jensen will defend his thesis Financial Frictions - Implications for Early Option Exercise and Realized Volatility. The thesis consists of three chapters, where the first chapter (with Lasse Heje Pedersen) shows that the classic rule that one should never exercise a call option early breaks down when frictions are severe enough. The second chapter documents that underlying stocks underperform after early exercise, consistent with private information leading to early exercise. The final chapter (with Christian Skov Jensen) finds that, consistent with an increase in differences of opinion, a positive demand shift for shorting a stock predicts higher volatility for the affected stock.
Mads Vestergaard Jensen is currently working as a Senior Analyst at Danica Pension.

After each defence, there will be a reception organized by the Doctoral School of Economics and Management.

You can find more information about the PhD theses, the assessment committee, time and place of each event in the links above.

The page was last edited by: Center for Financial Frictions // 11/15/2016