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
- 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. 26Details
- 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