Juliane M. Begenau
Assistant Professor of Business Administration
Juliane Begenau is an assistant professor of business administration in the Finance Unit. She teaches the Finance I course in the MBA required curriculum.
Professor Begenau studies questions in macroeconomics, finance, and banking. Her specific research focus is the interplay of the real economy with financial markets and financial institutions. Her work on credit market positions has been published as a chapter of a National Bureau of Economic Research Conference Report.
Professor Begenau earned her Ph.D. in economics at Stanford University. Her undergraduate degree, also in economics, is from Humboldt University in Berlin.
Banks' Risk Exposures
This paper studies U.S. banks' exposure to interest rate and credit risk. We exploit the factor structure in interest rates to represent many bank positions in terms of simple factor portfolios. This approach delivers time varying measures of exposure that are comparable across banks as well as across the business segments of an individual bank. We also propose a strategy to estimate exposure due to interest rate derivatives from regulatory data on notional and fair values together with the history of interest rates. We use the approach to document stylized facts about the recent evolution of bank risk taking.
Keywords: Risk and Uncertainty;
Banks and Banking;
Capital Requirements, Risk Choice, and Liquidity Provision in a Business Cycle Model
This paper develops a quantitative dynamic general equilibrium model in which households' preferences for safe and liquid assets constitute a violation of Modigliani and Miller. I show that the scarcity of these coveted assets created by increased bank capital requirements can reduce overall bank funding costs and increase bank lending. I quantify this mechanism in a two-sector business cycle model featuring a banking sector that provides liquidity and has excessive risk-taking incentives. Under reasonable parametrizations, the marginal benefit of higher capital requirements related to this channel significantly exceeds the marginal cost, indicating that U.S. capital requirements have been suboptimally low.
Keywords: Capital requirement;
Demand for Safe Assets;
Financing and Loans;
Banks and Banking;