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Daniel Jonas Schmidt

Macro Prud Policy&Financial Stability

Division

Financial Regulation and Policy

Current Position

Financial Stability Analyst

Fields of interest

Macroeconomics and Monetary Economics,Financial Economics,Mathematical and Quantitative Methods

Email

daniel.schmidt2@ecb.europa.eu

Education
2020-

PhD in Economics, Universiteit van Amsterdam and Tinbergen Institute, The Netherlands

2018-2020

MSc (Research) in Economics, Vrije Universiteit Amsterdam and Tinbergen Institute, The Netherlands

2016-2018

MSc in Quantitative Economics, Kiel University, Germany

2015-2016

Erasmus Student in Physics, Lund University, Sweden

2012-2015

BSc in Physics, Technische Universität Darmstadt, Germany

Professional experience
2025

Financial Stability Analyst - Financial Regulation and Policy Division, Directorate General Macroprudential Policy and Financial Stability, European Central Bank

2024-2025

PhD Trainee - Financial Regulation and Policy Division, Directorate General Macroprudential Policy and Financial Stability, European Central Bank

2020-2024

PhD Candidate and Teaching Assistant, Universiteit van Amsterdam, The Netherlands

2019-2020

Teaching Assistant, Tinbergen Institute and Vrije Universiteit Amsterdam, The Netherlands

2017-2018

Teaching Assistant and Student Research Assistant, Kiel University, Germany

2016

Intern - Quantitative Portfolio Analysis, KPMG, Germany

2014-2015

Teaching Assistant, Technische Universität Darmstadt, Germany

Awards
2024

Prize for Best Paper Presented by a PhD Student - Baltic Economic Association

2018

Full Scholarship - Tinbergen Institute

2018

Prize for Best MSc Graduate in Economics - Kiel University

Teaching experience
2021-2024

Bachelor Thesis Supervision - Amsterdam School of Economics, Universiteit van Amsterdam, The Netherlands

2022-2023

Topics in Distributional Macroeconomics, Tinbergen Institute, The Netherlands

2020-2023

Money and Banking - Amsterdam School of Economics, Universiteit van Amsterdam, The Netherlands

2020

Macroeconomics II, Tinbergen Institute, The Netherlands

2019

Microeconomics - Department of Economics, Vrije Universiteit Amsterdam, The Netherlands

2019

Economics of the Global Era - Department of Economics, Vrije Universiteit Amsterdam, The Netherlands

2017

Introduction to Econometrics - Department of Economics, Kiel University, Germany

15 January 2025
MACROPRUDENTIAL BULLETIN - ARTICLE - No. 26
Details
Abstract
This article develops a framework for assessing risks and formulating policies for leveraged alternative investment funds by integrating entity-level information for investment funds with transaction-level data on derivatives and repurchase agreements. Combining both types of data allows us to better understand the use of leverage in alternative investment funds and assess its implications for financial stability. Using a comprehensive set of risk metrics, our analysis identifies hedge funds and liability-driven investment (LDI) funds as the most vulnerable to leverage-related risks. We demonstrate the usefulness of our framework for risk assessment by analysing the sensitivity of leveraged funds to interest rate shocks. We find that LDI funds may face significant liquidity needs and mark-to-market losses. Hedge funds appear to be more resilient to this type of shock, but depending on their investment strategy, they could be sensitive to other risk factors. Our framework allows us to flexibly analyse other risk scenarios and to evaluate regulatory measures in terms of both their effectiveness and their precision in addressing potential vulnerabilities arising from leverage.
JEL Code
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions
G15 : Financial Economics→General Financial Markets→International Financial Markets
G23. : Financial Economics→Financial Institutions and Services→Non-bank Financial Institutions, Financial Instruments, Institutional Investors
2022
Tinbergen Institute Discussion Paper
  • Schmidt, D. J.