Assistant Professor - Department of Finance
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).
Klingler, Sven & Sundaresan, Suresh M. (2019)
An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
Journal of Finance Doi: 10.1111/jofi.12750
Klingler, Sven & Lando, David (2018)
Safe Haven CDS Premiums
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.
|2017||Copenhagen Business School||PhD|
|2017 - Present||BI Norwegian Business School||Assistant professor|