Department of Finance

Job Market Candidates

Below you will find current and former Job Market Candidates. The Job Market Candidates in 2021 will be announced in the Fall.



Job Market Candidates 2021




Below, you can see the placements of our former job market and PhD candidates.

Former Job Market Candidates and placements



Ben Knox













Benjamin Knox

Personal website



Areas of Interest: Asset Pricing, Insurance, Financial Intermediaries, FinTech, Monetary Policy


Job Market Paper: "Asset-Driven Insurance Pricing"


We develop a theory that connects insurance premiums, insurance companies’ investment behavior, and equilibrium asset prices. Consistent with the model's key predictions, we show empirically that (1) insurers with more stable insurance funding take more investment risk and, therefore, earn higher average investment returns; (2) insurance premiums are lower when expected investment returns are higher, both in the cross section of insurance companies and in the time series, and both for life insurance companies and the property and casualty industry. Consistent with a causal interpretation of these results, we find insurance premiums move similarly when investment returns change exogenously due to mergers.


Placement: Federal Reserve Board in Washington



Thomas Kjær Poulsen














Thomas Kjær Poulsen

Personal website

PDF iconCV


Areas of Interest: Asset pricing, Corporate Finance, Financial Economics


Job Market Paper: "Does Debt Explain the Investment Premium?"


The investment premium - the finding that firms with low asset growth deliver high average returns - is an integral part of recent factor models. I document empirically that the investment premium (1) reflects leverage, (2) does not exist among zero-leverage firms, and (3) increases with firms' refinancing intensities. This new evidence challenges prominent explanations of the investment premium including the q-theory of investment and behavioral finance. To explain the evidence, I develop a model in which firms make both optimal investment and financing decisions. The model shows that the investment premium reflects both leverage and refinancing intensities consistent with my empirical findings.


Placement: BI Norwegian Business School













Stine Louise Daetz

Personal Website
PDF iconCV

Areas of Interest: Debt and Fixed Income Markets; Credit, Liquidity and Systemic Risk; Monetary Policy and Central Banking; Corporate Finance

Job Market Paper: "The Value of Bond Underwriter Relationships"

We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds, but at the same time become exposed to underwriter distress. A strong relationship enables the underwriter to credibly certify the issuer resulting in lower direct issuance costs and lower underpricing. However, if the underwriter becomes distressed, this spills over to the issuer's credit risk, because it weakens the relationship and increases the risk of involuntary relationship termination. The credit risk spillover is more pronounced for risky, opaque issuers with high rollover exposure, i.e., those issuers most in need of certification by an underwriter. 

Placement: Danmarks Nationalbank                                                       

























Niels Joachim Gormsen
Personal Website

See a video Niels Joachim Gormsen, where he talks about his research and his placement at the University of Chicago here.

Areas of Interest: Financial economics, Empirical asset pricing

Primary Job Market Paper: “Time Variation in the Equity Term Structure”

I document that the term structure of holding-period equity returns is counter-cyclical: it is downward sloping in good times, but upward sloping in bad times. This new stylized fact implies that long-maturity risk plays a central role in asset price fluctuations, consistent with theories of long-run risk and habit, but these theories cannot explain the average downward slope. At the same time, the cyclical variation is inconsistent with recent models constructed to match the average downward slope. I present the theoretical source of the puzzle and suggest a new model as a resolution. My model also shows that the counter-cyclical term structure has implications for real activity, which I verify empirically: in bad times, long-duration firms decrease their investment and capital-to-labor ratio relative to short-duration firms.


Secondary Job Market Paper (with Christian Skov Jensen): “Conditional Risk” 


We present a new direct methodology to study conditional risk, that is, the extra return compensation for time-variation in risk. We show theoretically that the conditional part of the CAPM can be captured by augmenting the standard market model with a conditional-risk factor, which is a specific market timing strategy. Both in the U.S. and global sample covering 23 countries, all major equity risk factors load on our conditional-risk factor, implying that each factor has a higher conditional market beta when the market risk premium is high or the market variance is low. Accordingly, these factor returns can be partly explained by conditional risk. Studying the economic drivers of these results, we find evidence that conditional risk arises from variation in discount rate betas (not cash flow betas) due to the endogenous effects of arbitrage trading.

Placement: University of Chicago (Booth) 













Christian Skov Jensen
Personal Website
PDF iconCV

Areas of Interest: Asset pricing, Fintech, Financial econometrics, Financial economics

Job Market Paper: "Higher-Moment Risk"


We show how the market's higher order moments can be estimated ex ante using methods based on Martin (2017). These ex ante higher order moments predict future realized higher order moments, whereas trailing realized moments have little predictive power. Higher-moment risks move together in the sense that skewness becomes more negative when kurtosis becomes more positive. In addition, higher-moment risk is high when volatility is low, suggesting that risk doesn't go away - it hides in the tails. Higher-moment risk has significant implications for investors; for example, the tail loss probability of a volatility-targeting investor varies from 3.6% to 9.7%, entirely driven by changes in higher-moment risk. We empirically analyze the economic drivers of these risks, such as financial intermediary leverage, market and funding illiquidity, and potential bubbles.

Placement: Bocconi University Milan













Andreas Bang Nielsen
Personal Website
PDF iconCV

Areas of Interest: Credit Risk, Foreign Exchange, Derivatives, Empirical Asset Pricing

Job Market Paper: "Forward-Looking Currency Betas"

I propose a model-free method to derive forward-looking betas to currency portfolios from cross-pair currency options. Using the dollar factor--an equal-weighted basket of foreign currencies against the U.S. dollar--as the systematic factor, I find that these option-implied betas are significantly better predictors of realized betas and currency excess returns compared to traditional rolling window betas. Constructing portfolios based on option-implied betas leads to a significantly positive relation between ex-ante betas and ex-post portfolio returns, whereas, there is an insignificant relation when historical betas are used. Furthermore, using the option-implied betas, I construct a measure for systematic volatility and provide evidence for a positive cross-sectional relation between returns to selling volatility derivatives and systematic volatility.

Placement: Cornerstone Research (US)












Sven Klingler
Areas of Interest: Asset Pricing, Financial Frictions, Hedge Funds, Limits of Arbitrage
I develop a simple model where hedge fund managers with a higher exposure to a common funding shock deliver lower subsequent returns. Empirically, I find that hedge funds with a higher loading on a simple funding risk measure generate lower returns than hedge funds with a lower loading on that measure. In line with the model predictions, I find that (i) this underperformance is driven by a high loading on adverse funding shocks, (ii) a higher loading on funding risk predicts lower fund flows, and (iii) the results are significantly weaker for funds that have a lockup provision.
Placement: Assistant professor at BI Oslo










Davide Tomio
Areas of Interest: Market Microstructure, Asset Pricing, Empirical Finance
Job Market Paper: Arbitraging Liquidity

This paper shows theoretically and empirically how arbitrage activity contributes to the convergence of liquidity across markets. Based on simple arbitrage arguments, I show theoretically how arbitrageurs’ market and limit orders create a co-movement across markets of bid prices, ask prices, and bid-ask spreads. Empirically, I document how the intensity of arbitrage activity is related to the co-movement of market liquidity between securities linked by arbitrage. I focus on Canadian stocks cross-listed in the United States and also consider commonality across stocks and corporate bonds linked by capital structure arbitrage.

Placement: Assistant professor at Darden School of Business, University of Virginia














Kay Sun Park
Areas of Interest: Empirical and Theoretical Corporate Finance, International Finance
We investigate how a firm jointly determines the amount of debt and its maturity in a dynamic capital structure. We find a firm with high volatility of earnings optimally issues debts of shorter maturity which helps it maintain its financial flexibility. Using simultaneous equations of leverage and maturity regression, we find that higher leverage is led by shorter maturity. Our results support the dynamic capital structure model in which a firm decides its leverage as a trade-off between bankruptcy costs and tax benefits, as well as optimally adjusting the maturity of its debt by taking account of their financial flexibility versus the costs of new debt issuance. These findings can explain why financial institutions with high volatility of earnings before the 2007-2009 financial crisis had higher leverage as well as huge short-term financing.
Placement: Research Fellow at Incheon Development Institute in South Korea















Aleksandra Rzeźnik
Areas of Interest: Empirical Asset Pricing, Liquidity, Institutional Investors, Real Estate
This paper examines the liquidity choices of mutual funds during times of market uncertainty. I find that when markets are uncertain, mutual funds actively increase the liquidity of their portfolio - often referred to as a ‘flight-to-liquidity.’ In aggregate, mutual fund behaviour has implications for the market; the market driven flight-to-liquidity places upward pressure on the liquidity premium. I examine the underlying mechanisms driving fund behaviour. I show that market volatility is associated with lower fund performance and withdrawals, which causes funds to adjust the composition of their portfolio towards more liquid assets in order to meet potential redemptions. This causal chain is consistent with Vayanos (2004), who argues that fund managers are investors with time-varying liquidity preferences due to threat of withdrawal. Aggregated over funds, the effect is substantial: a one standard deviation increase in my measure of flight-to-liquidity yields a 0.63 standard deviation increase in the excess return required for holding illiquid securities.
Placement: Assistant professor at WU Vienna University of Economics and Business in Austria












Desi Volker
Areas of Interest: Financial economics, Macro-finance, Empirical asset pricing, Monetary economics, Fixed income
This paper studies the effect of the uncertainty surrounding the future path of monetary policy on interest rates.  I proxy uncertainty with the cross-sectional dispersion in one year ahead fed funds rate forecasts from survey data. Within a flexible dynamic term structure model with observable and latent factors, I provide evidence in support of a link between uncertainty and interest rate dynamics. In particular I show that: (i) uncertainty is an important contributor to the variation in conditional yield volatilities and has a slope effect on the volatility term structure; (ii) monetary policy uncertainty risk is priced and affects expected excess returns at short horizons; and (iii) it can be interpreted as a pure volatility risk factor as it is weakly spanned by the cross-section of yields
Placement: Federal Reserve Bank of New York in the United States

Mamdouh medhat














Mamdouh Medhat

Areas of Interest: Asset pricing, Asset pricing implications of corporate finance theory, Credit risk

Job Market Paper: Liquidity Risk and Distressed Equity

I show theoretically and empirically that solvency and liquidity can help rationalize low distressed equity returns. In my model, levered firms facing financing constraints optimally choose liquidity reserves and optimally default when insolvent. I find empirical evidence consistent with the model's predictions: (1) In all solvency levels, the average firm holds enough liquid assets to cover its short-term liabilities; less solvent firms have (2) a higher fraction of their total assets in liquid assets and therefore (3) lower conditional betas and (4) lower returns; (5) the profits of strategies are concentrated among low liquidity firms; and (6) the profits of liquidity strategies are concentrated among low solvency firms. My results suggest that solvency and liquidity are essential to understanding the distress puzzle.


Placement: Assistant professor Cass Business School London


Other Placements


Søren Bundgaard Brøgger

PhD dissertation:
Essays on Modern Derivatives Markets

I investigate the feedback effects that can arise when hedging flows from derivatives markets are large relative to the underlying market. I find that flows are efficiently absorbed when the underlying market is liquid (first chapter), but can distort the dynamics of the underlying asset(s) if not (second chapter). In the final chapter (with Jesper Andreasen), we show what happens to the value of cash if the zero lower bound on nominal rates is removed.

Placement: Saxo Bank


Benjamin Christoffersen

PhD dissertation:
Corporate Default Models: Empirical Evidence and Methodological Contributions

Modelling the joint distribution of defaults is a key part of bottom-up models for the loss of a corporate debt portfolio. Two of the chapters in the thesis concerns default models to account for time-varying unobservable effects and how to estimate these models. The other two chapters are applications of such models.

Placement: Karolinska Institutet

Frederik Regli

Frederik Ørnsholt Regli

PhD dissertation:
Essays on Crude Oil Tanker Markets

This thesis studies freight rates, which have sparked the interest of maritime economists at least since the seminal work by Tinbergen (1931) and Koopmans (1939). This thesis has special emphasis on how freight rates evolve, how they are linked to oil prices through the floating storage arbitrage relationship, and how they reflect the relative bargaining power of shipowners and charterers. The thesis consists of three chapters, which can be read independently.

Placement: Ørsted


Pia Mølgaard

PhD dissertation:
Essays on Corporate Loans and Credit Risk

The thesis consists of three self-contained essays. The first essay investigates the trading pattern of managers of collateralized loan obligations (CLO) and how it affects the performance of the CLO. The second essay investigates how post issuance ratings and prices of corporate loans depends on the relationship the firm has with its bank connection. The third essay investigates how microstructural noise components in asset prices affect test results of the lead-lag relationship between corporate bond and CDS spreads. 

Placement: Danmarks Nationalbank

Niklas Kohl

Niklas Kohl

PhD dissertation:
Essays on Stock Issuance

Firms which issue new equity subsequently have lower returns than other firms. The essays explore whether the strength of this effect depends on differences in issuer characteristics, and between issuers in different markets. Moreover, I investigate whether issuer underperformance can be explained by information asymmetry.

Placement: Company-owner of Selandia Capital

Nina Lange






Nina Lange

PhD dissertation:
Correlation in Energy Markets

The dissertation consists of four essays within the overall topic of energy markets. The first essay studies the relationship of volatility in oil prices and the EURUSD rate. The remaining three essays study the so-called energy quanto options – a contract paying the product of two options. These essays cover both the use and the pricing of such contracts.

Placement: University of Sussex



Søren Korsgaard







Søren Korsgaard

PhD dissertation:
Payments and Central Bank Policy

The thesis consists of three chapters. The first chapter examines the market for retail payments, specifically the role of interchange fees in payment card networks. The second chapter looks at how banks' liquidity shape outcomes in the money market. Finally, the third chapter explores how central banks use collateral policy to support lending

Placement: Danmarks Nationalbank

Mads Vestergaard Jensen









Mads Vestergaard Jensen

PhD dissertation:

Financial Frictions - Implications for Early Option Exercise and Realized Volatility

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.

Placement: Danica Pension

Mikael Reimer Jensen







Mikael Reimer Jensen

PhD dissertation:

Interbank Markets and Frictions

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.

Placement: ATP



Sebastian Fux



Sebastian Fux

PhD dissertation:
Essays on Return Predictability and Term Structure Modelling

The thesis is available here

Placement: PWC, Zürich



The page was last edited by: Department of Finance // 04/15/2021