-
Employee Profile

Sven Klingler

Associate Professor - Department of Finance

Biography

Link to my personal website

My research interests are in the area of asset pricing with financial frictions. I study how funding frictions affect hedge fund returns, long-term interest rate swap rates, and CDS premiums of safe sovereigns. In a recent paper, we analyze how more trading activity affects the performance of Collateralized Loan Obligations (CLOs).

Publications

Klingler, Sven & Sundaresan, Suresh (2023)

Diminishing treasury convenience premiums: Effects of dealers’ excess demand and balance sheet constraints

Journal of Monetary Economics Doi: 10.1016/j.jmoneco.2023.01.002

Klingler, Sven & Sundaresan, Suresh M. (2023)

Diminishing Treasury Convenience Premiums: Effects of Dealers' Excess Demand In Auctions

Journal of Monetary Economics

Klingler, Sven (2022)

High Funding Risk and Low Hedge Fund Returns

Critical Finance Review, 11(3-4), s. 505- 539. Doi: 10.1561/104.00000119

I show that hedge funds with a high exposure to market-wide funding shocks—measured by changes in Libor-OIS spreads—subsequently underperform funds with a low exposure to market-wide funding shocks by 5.76% annually on a risk-adjusted basis (t = 4.04). To explain this puzzling result, I hypothesize that this type of funding risk exposure is connected to hedge funds’ liabilities with limited upside in normal times and severe downside risk during funding crises. Supporting this hypothesis, the performance difference between low-funding-risk and high-funding-risk funds is largest when funding constraints are most binding and for funds with more fragile liabilities.

Klingler, Sven & Syrstad, Olav (2021)

Life After Libor

Journal of Financial Economics, 141(2), s. 783- 801. Doi: 10.1016/j.jfineco.2021.04.017

Fabozzi, Frank J.; Klingler, Sven, Mølgaard, Pia & Nielsen, Mads Stenbo (2020)

Active Loan Trading

Journal of Financial Intermediation Doi: 10.1016/j.jfi.2020.100868 - Full text in research archive

The increased disruption of business models through digital technologies creates opportunities and challenges for retail businesses and their network partners. Digital transformation – the process of digitalization of previously analogue operations,procedures, organizational tasks, and managerial processes in order to drive value for customers, employees and other stakeholders – is the order of the day. With that in mind, this article provides a purposeful overview of research in the field of digital transformation with a focus on retailing and customer- facing functions of digital technologies such as managing customer journeys, assessing the impact of sensory marketing and the use of service robots on the one hand, and their strategic implications for business models such as servitization on the other. This article concludes by highlighting immediate as well as long-term challenges in the field, with a focus on disruptive technologies, innovations and trends that retail marketing-management will likely face in the near future.

Klingler, Sven & Sundaresan, Suresh M. (2018)

An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans

Journal of Finance, 74(2), s. 675- 710. Doi: 10.1111/jofi.12750 - Full text in research archive

The 30‐year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints, this demand can drive swap spreads to become negative. Empirically, we construct a measure of the aggregate funding status of defined benefit pension plans and show that this measure helps explain 30‐year swap spreads. We find a similar link between pension funds' underfunding and swap spreads for two other regions.

Klingler, Sven & Lando, David (2018)

Safe Haven CDS Premiums

The Review of financial studies, 31(5), s. 1856- 1895. Doi: 10.1093/rfs/hhy021 - Full text in research archive

Credit default swaps can be used to lower the capital requirements of dealer banks entering into uncollateralized derivatives positions with sovereigns. We show in a model that the regulatory incentive to obtain capital relief makes CDS contracts valuable to dealer banks and empirically that, consistent with the use of CDS for regulatory purposes, there is a disconnect between changes in bond yield spreads and in CDS premiums, especially for safe sovereigns. Additional empirical tests related to the volume of contracts outstanding, effects of regulatory proxies, and the corporate bond and CDS markets support that CDS contracts are used for capital relief.

Academic Degrees
Year Academic Department Degree
2017 Copenhagen Business School PhD
Work Experience
Year Employer Job Title
2017 - Present BI Norwegian Business School Assistant professor

BI Business Review articles: