Publications

Econometrics at Scale: Spark Up Big Data in Economics
This paper provides an overview of how to use “big data” for economic research. We document how to use the distributed techonology Spark to tackle standard problems such as data cleaning as well as micro-, macro- and panel econometric regressions.
Benjamin Bluhm, Jannic Alexander Cutura
Econometrics at Scale: Spark Up Big Data in Economics
Incentive Effects from Write-down CoCo Bonds - An Empirical Analysis
We document that equity-conversion CoCos bond carry a premium in the secondary bond market. We show that the premium is driven by moral hazard considerations.
Jannic Alexander Cutura, Henning Hesse
Incentive Effects from Write-down CoCo Bonds - An Empirical Analysis
Debt-holder monitoring an implicit guarantess: Did the BRRD improve market discipline?
This paper argues that the European Union’s Banking Recovery and Resolution Directive (BRRD) has improved market discipline in the European bank market for unsecured debt.
Jannic Alexander Cutura
Debt-holder monitoring an implicit guarantess: Did the BRRD improve market discipline?
Debt derisking
We examine how corporate bond fund managers manipulate portfolio risk in response to incentives. We find that liquidity risk concerns drive the allocation decisions of underperforming funds, whereas tournament incentives are of secondary importance which leads laggard fund managers to trade off yield for liquidity, while holding the exposure to other sources of risk constant.
Jannic Alexander Cutura, Gianpaolo Parise, Andreas Schrimpf
Debt derisking
Banks’ Dollar Funding: A source of Financial Vulnerability
The analytical chapter of the 2019 Global Financial Stability report investigates USD funding of global banks as a source of vulnerability for the financial system
Adolfo Barajas, John Caparusso, Jannic Alexander Cutura, Yingyuan Chen, Andrea Deghi, Zhi Ken Gan, Oksana Khadarina, Dulani Seneviratne, Peichu Xie, Yizhi Xu, Xinze Juno Yao
Banks’ Dollar Funding: A source of Financial Vulnerability