PhD defence: Mikael Reimer Jensen
The thesis consists of three chapters. 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.
Supervisor:
Professor David Lando
Department of Finance
Copenhagen Business School
Secondary Supervisor:
Associate Professor Jesper Lund
Department of Finance
Copenhagen Business School
Assessment Committee:
Associate Professor Jens Dick-Nielsen (Chair)
Department of Finance
Copenhagen Business School
Senior Economist Marie Hoerova
Financial Research
European Central Bank
Associate Professor Thomas Kokholm
Department of Economics
Aarhus University
Thesis:
The thesis is available here.
Reception:
The Doctoral School of Economics and Management will host a reception, which will take place immediately after the defence in FUHU Faculty Club (3rd floor above the canteen).