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).
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
Klingler, Sven & Sundaresan, Suresh M. (2018)
An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
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
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|